Search Results - subject:"Markov-modulated poisson process"

Valuing catastrophe equity put options with liquidity risk, default risk and jumps

Tang, Chao; Chen, Peimin; Zhang, Shu - 2025

Persistent link: https://www.econbiz.de/10015372584

Optimal liquidation problem in illiquid markets

Sadoghi, Amirhossein; Večeř, Jan - In: European journal of operational research : EJOR 296 (2022) 3, pp. 1050-1066

Persistent link: https://www.econbiz.de/10013256904

Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process

Miao, Daniel Wei-Chung; Lin, Xenos Chang-Shuo; Chao, … - In: Computers & operations research : and their … 65 (2016), pp. 111-124

Persistent link: https://www.econbiz.de/10011410719

Compact Markov-modulated models for multiclass trace fitting

Casale, Giuliano; Sansottera, Andrea; Cremonesi, Paolo - In: European journal of operational research : EJOR 255 (2016) 3, pp. 822-833

Persistent link: https://www.econbiz.de/10011556160

When random-order-of-service outperforms first-come-first-served

Rogiest, Wouter; Laevens, K.; Walraevens, Joris; Bruneel, H. - In: Operations research letters 43 (2015) 5, pp. 504-506

Persistent link: https://www.econbiz.de/10011386453

Valuation of catastrophe equity put options with correlated default risk and jump risk

Bi, Hongwei; Wang, Guanying; Wang, Xingchun - In: Finance research letters 29 (2019), pp. 323-329

Persistent link: https://www.econbiz.de/10012419135

Fitting procedure for the two-state Batch Markov modulated Poisson process

Yera, Yoel G.; Lillo, Rosa E.; Ramírez-Cobo, Pepa - In: European journal of operational research : EJOR 279 (2019) 1, pp. 79-92

Persistent link: https://www.econbiz.de/10012102716

Estimation of the parameters of a Markov-modulated loss process in insurance

Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 388-404

We present a new model of loss processes in insurance. The process is a couple (N,L) where N is a univariate Markov-modulated … Poisson process (MMPP) and L is a multivariate loss process whose behavior is driven by N. We prove the strong consistency of …

Persistent link: https://www.econbiz.de/10010702902

Estimation of the parameters of a Markov-modulated loss process in insurance

Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 388-404

Persistent link: https://www.econbiz.de/10010195915

A multi-item approach to repairable stocking and expediting in a fluctuating demand environment

Arts, Joachim - In: European journal of operational research : EJOR 256 (2017) 1, pp. 102-115

Persistent link: https://www.econbiz.de/10011611180