6 papers · 1 filter
Multitype branching process with nonhomogeneous Poisson and generalized Polya immigration
Landy Rabehasaina, Jae-Kyung Woo
In a multitype branching process, it is assumed that immigrants arrive according to a nonhomogeneous Poisson or a generalized Polya process (both processes are formulated as a nonh…
Asymptotics for infinite server queues with fast/slow Markov switching and fat tailed service times
Landy Rabehasaina
We study a general dimensional infinite server queues process with Markov switching, Poisson arrivals and where the service times are fat tailed with index . When t…
Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs
Landy Rabehasaina, Jae-Kyung Woo
We consider a general dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (cl…
Asymptotic Correlation Structure of Discounted Incurred But Not Reported Claims under Fractional Poisson Arrival Process
Eric Cheung, Landy Rabehasaina, Jae-Kyung Woo +1
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This proce…
High order expansions for renewal functions and applications to ruin theory
Clément Dombry, Landy Rabehasaina
A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on…
Passage times of perturbed subordinators with application to reliability
Christian Paroissin, Landy Rabehasaina
We consider a wide class of increasing Lévy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation mode…