In this paper, a particular class of matrix-exponential distributions is described, also with respect to its use in risk theory, namely phase-type distributions. Phase-type distributions have the important advantage of being suitable for approximating most of other distributions as well as being...

The reliability behaviour of systems under changeable load is studied in the paper. A case when the load changes continuously in time is considered, i.e., a continuous extension of the discrete load-share reliability models is proposed. The main assumption used in the paper is the so-called...

Effective management and the assessment of quality performance of products is important in modern enterprises. Often, the business performance is measured using the lifetime performance index CL to evaluate the potential of a process, where L is a lower specification limit. In this paper the...

Airport networks are a kind of complex systems that display significant fluctuations. To describe this kind of phenomena a dynamical fluctuation model is proposed. In this model the fluctuations in growth rates of weight are exponential. There are two adjustable parameters: the exponent β and...

A catastrophe equity put (CatEPut) option is a catastrophe derivative that allows insurance companies to raise equity capital when they face catastrophe losses. This study focuses on a pricing model for a CatEPut options. First, unlike previous research, this study provides a CatEPut option...