The Theory of Matrices. By F R. Gantmacher. Two volumes, pp. 374 and 276. 1959. (Translated from the Russian by K. A. Hirsch; Chelsea Publishing Company, New York)

We consider an extension to the classical compound Poisson risk model for which the increments of the aggregate claim amount process are independent. In Albrecher and Teugels (2006), an arbitrary dependence structure among the interclaim time and the subsequent claim size expressed through a copula is considered and they derived asymptotic results for both the finite and infinite-time ruin probabilities. In this paper, we consider a particular dependence structure among the interclaim time and the subsequent claim size and we derive the defective renewal equation satisfied by the expected discounted penalty function. Based on the compound geometric tail representation of the Laplace transform of the time to ruin, we also obtain an explicit expression for this Laplace transform for a large class of claim size distributions. The ruin probability being a special case of the Laplace transform of the time to ruin, explicit expressions are therefore obtained for this particular ruin related quantity. Finally, w...

On a risk model with dependence between interclaim arrivals and claim sizes

The Batch Markovian Arrival Process: A Review and Future Work

Multi-dimensional asymptotically quasi-Toeplitz Markov chains with discrete and continuous time are introduced. Ergodicity and non-ergodicity conditions are proven. Numerically stable algorithm to calculate the stationary distribution is presented. An application of such chains in retrial queueing models with Batch Markovian Arrival Process is briefly illustrated.

Multi-dimensional asymptotically quasi-Toeplitz Markov chains and their application in queueing theory

In this paper we survey work related to queues with interruptions that occur due to many reasons such as server breakdowns, servers taking emergency breaks, and customers having incomplete information or getting distracted We look at both continuous and discrete time queueing models with interruptions in this survey

Queues with interruptions: a survey

A multi-server retrial queueing model with Batch Markovian Arrival Process and phase-type service time distribution is analyzed. The continuous-time multi-dimensional Markov chain describing the behavior of the system is investigated by means of reducing it to the corresponding discrete-time multi-dimensional Markov chain. The latter belongs to the class of multi-dimensional quasi-Toeplitz Markov chains in the case of a constant retrial rate and to the class of multi-dimensional asymptotically quasi-Toeplitz Markov chains in the case of an infinitely increasing retrial rate. It allows to obtain the existence conditions for the stationary distribution and to elaborate the algorithms for calculating the stationary state probabilities.

A Retrial BMAP / PH / N System

The BMAP/PH/N/0 model with three different disciplines of admission (partial admission, complete rejection, complete admission) is investigated. Loss probability is calculated. Impact of the admission discipline, variation and correlation coefficients of inter-arrival times distribution, and variation of service times distribution on loss probability is analyzed numerically. As by-product, it is shown by means of numerical results that the invariant property of the famous Erlang M/G/N/0 system, which was proven by B. A. Sevastjanov, is absent in case of the MAP input.

Lack of Invariant Property of the Erlang Loss Model in Case of MAP Input

A retrial queueing system with the batch Markovian arrival process and semi-Markovian service is investigated. We suppose that the intensity of retrials linearly depends on the number of repeated calls. The distribution of the number of calls in the system is the subject of research. Asymptotically quasi-Toeplitz 2-dimensional Markov chains are introduced into consideration and applied for solving the problem.

A retrial BMAP/SM/1 system with linear repeated requests

In analytic queueing theory, Rouche's theorem is frequently used to prove the existence of a certain number of zeros in the domain of regularity of a given function. If the theorem can be applied it leads in a simple way to results concerning the ergodicity condition and the construction of the solution of the functional equation for the generating function of the stationary distribution. Unfortunately, the verification of the conditions needed to apply Rouche's theorem is frequently quite difficult. We prove the theorem which allows to avoid some difficulties arising in applying classical Rouche's theorem to an analysis of queueing models.

Valentina Klimenok

Papers

Multi-dimensional asymptotically quasi-Toeplitz Markov chains and their application in queueing theory

A Retrial BMAP / PH / N System

Lack of Invariant Property of the Erlang Loss Model in Case of MAP Input

A retrial BMAP/SM/1 system with linear repeated requests

On the Modification of Rouche's Theorem for the Queueing Theory Problems