3 papers
math.PR2025
Markov Modelling Approach for Queues with Correlated Service Times -- the Model
Suman Thapa, Yiqiang Q. Zhao
Demand for studying queueing systems with multiple servers providing correlated services was created about 60 years ago, motivated by various applications. In recent years, the imp…
q-fin.RM2021
Estimating value at risk and conditional tail expectation for extreme and aggregate risks
Suman Thapa, Yiqiang Q. Zhao
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of…
math.PR2021
Construction of New Copulas with Queueing Application
Suman Thapa, Yiqiang Q. Zhao
In this paper, we construct a bound copula, which can reach both Frechet's lower and upper bounds for perfect positive and negative dependence cases. Since it covers a wide range o…