4 papers · 1 filter
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…
Estimation of weak ARMA models with regime changes
Yacouba Boubacar Maïnassara, Landy Rabehasaina
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that…
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…