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Erlangization for perturbed risk models
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When
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2.00pm on Friday 9th November
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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David Stanford
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From
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Department of Statistical & Actuarial Sciences, University of Western Ontario
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Abstract
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The Erlangization method has been applied in a variety of risk process contexts, starting with Asmussen, Avram and Usabel (2002) for the classical risk model; the extension to the Sparre-Andersen risk process is described in Stanford et al (2005). Recently, Ramswami et al (2008) provided a unified procedure for the analysis of Markov-Modulated fluid flows via Erlangization. In the present work, we develop an algorithmic procedure for the analysis of perturbed risk processes via Erlangization.
This is joint work with Mr. Kaiqi Yu and Professor Jiandong Ren of the same department.
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For further information
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Thomas Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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