21 citations · 39 across the 8 of their papers we have counts for
8 papers · 1 filter
Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps
Zbigniew Palmowski, Eleni Vatamidou
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed,…
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Hansjörg Albrecher, Martin Bladt, Eleni Vatamidou
We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound represe…
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…
Corrected phase-type approximations of heavy-tailed queueing models in a Markovian environment
Eleni Vatamidou, Ivo J. B. F. Adan, Maria Vlasiou +1
We develop accurate approximations of the delay distribution of the MArP/G/1 queue that cap- ture the exact tail behavior and provide bounded relative errors. Motivated by statisti…
Corrected phase-type approximations for the workload of the MAP/G/1 queue with heavy-tailed service times
Eleni Vatamidou, Ivo J. B. F. Adan, Maria Vlasiou +1
In many applications, significant correlations between arrivals of load-generating events make the numerical evaluation of the load of a system a challenging problem. Here, we cons…
Corrected phase-type approximations of heavy-tailed queueing models in a Markovian environment
Eleni Vatamidou, Ivo J. B. F. Adan, Maria Vlasiou +1
Significant correlations between arrivals of load-generating events make the numerical evaluation of the workload of a system a challenging problem. In this paper, we construct hig…
Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Eleni Vatamidou, Ivo J. B. F. Adan, Maria Vlasiou +1
Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such p…
On the accuracy of phase-type approximations of heavy-tailed risk models
Eleni Vatamidou, Ivo J. B. F. Adan, Maria Vlasiou +1
Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome…