7 citations · 31 across the 20 of their papers we have counts for
4 papers · 1 filter
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Anita Behme, Apostolos Sideris
We derive the Markov-modulated generalized Ornstein-Uhlenbeck process by embedding a Markov-modulated random recurrence equation in continuous time. The obtained process turns out…
On -scale functions of spectrally negative compound Poisson processes
Anita Behme, David Oechsler
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes. For spectrally negative compound Poisson processes with positive drift, a new r…
A 22 random switching model and its dual risk model
Anita Behme, Philipp Lukas Strietzel
In this article a special case of an M/G/2-queue is considered, where the two servers are exposed to two types of jobs that are distributed among the servers via a random switch. I…
On the law of killed exponential functionals
Anita Behme, Alexander Lindner, Jana Reker
For two independent Lévy processes and and an exponentially distributed random variable with parameter that is independent of and , the killed exponential…