Results 21 to 30 of about 138 (118)

Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution

Risks, 2020
This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
doaj   +1 more source

Performance Sensitivity to the High‐Order Statistics of Time Interval Variables in Cellular Networks

Mobile Information Systems, Volume 2020, Issue 1, 2020., 2020
Cell dwell time (DT) and unencumbered interruption time (IT) are fundamental time interval variables in the teletraffic analysis for the performance evaluation of mobile cellular networks. Although a diverse set of general distributions has been proposed to model these time interval variables, the effect of their moments higher than the expected value ...
Felipe A. Cruz-Pérez, Genaro Hernandez-Valdez, Andrés Rico-Páez, Sandra L. Castellanos-López, José R. Miranda-Tello, Grethell G. Pérez-Sánchez, Ernesto R. Vázquez-Cerón, Juraj Machaj   +7 more
wiley   +1 more source

A Parameter Estimation Method of Shock Model Constructed with Phase‐Type Distribution on the Condition of Interval Data

Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020
The phase‐type distribution (also known as PH distribution) has mathematical properties of denseness and closure in calculation and is, therefore, widely used in shock model constructions describing occurrence time of a shock or its damage. However, in the case of samples with only interval data, modeling with PH distribution will cause decoupling ...
Long Wang, Yue Li, Yanling Qian, Xu Luo, Rafał Stanisławski   +4 more
wiley   +1 more source

The coxian phase-type distribution as a contribution to the multilevel model of in-hospital mortality [PDF]

Communications in Statistics - Theory and Methods, 2015
ABSTRACTThis paper presents multilevel models that utilize the Coxian phase-type distribution in order to be able to include a survival component in the model. The approach is demonstrated by modeling patient length of stay and in-hospital mortality in geriatric wards in Italy.
Zenga, M., Marshall, A. H., Crippa, Franca, Mitchell, Hannah   +3 more
openaire   +2 more sources

Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits

Risks, 2019
Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, though to a ...
Søren Asmussen, Patrick J. Laub, Hailiang Yang   +2 more
doaj   +1 more source

Necessary and Sufficient Conditions for Representing General Distributions by Coxians [PDF]

, 2003
A common analytical technique involves using a Coxian distribution to model a general distribution G, where the Coxian distribution agrees with G on the first three moments. This technique is motivated by the analytical tractability of the Coxian distribution.
Takayuki Osogami, Mor Harchol-Balter
openaire   +1 more source

A Decentralized Partially Observable Markov Decision Model with Action Duration for Goal Recognition in Real Time Strategy Games

Discrete Dynamics in Nature and Society, Volume 2017, Issue 1, 2017., 2017
Multiagent goal recognition is a tough yet important problem in many real time strategy games or simulation systems. Traditional modeling methods either are in great demand of detailed agents’ domain knowledge and training dataset for policy estimation or lack clear definition of action duration.
Peng Jiao, Kai Xu, Shiguang Yue, Xiangyu Wei, Lin Sun, Filippo Cacace   +5 more
wiley   +1 more source

A Semi‐Markov Decision Model for Recognizing the Destination of a Maneuvering Agent in Real Time Strategy Games

Mathematical Problems in Engineering, Volume 2016, Issue 1, 2016., 2016
Recognizing destinations of a maneuvering agent is important in real time strategy games. Because finding path in an uncertain environment is essentially a sequential decision problem, we can model the maneuvering process by the Markov decision process (MDP). However, the MDP does not define an action duration.
Quanjun Yin, Shiguang Yue, Yabing Zha, Peng Jiao, M. I. Herreros   +4 more
wiley   +1 more source

Analysis of a Serial Supply Network Operating Under VMI Policy with Stochastic Replenishment Times and External Demand

Mathematics
An algorithm based on matrix analytic methods for the exact numerical performance evaluation of a two-echelon vendor-managed inventory system with lost sales is presented in this paper.
Georgios Varlas, Stelios Koukoumialos, Alexandros Diamantidis, Michael Vidalis, Evangelos Ioannidis   +4 more
doaj   +1 more source

Transient Analysis of a k‐out‐of‐n:G System with N‐Policy, Repairmen’s Multiple Vacations, and Redundant Dependency

Discrete Dynamics in Nature and Society, Volume 2015, Issue 1, 2015., 2015
This paper analyzes a k‐out‐of‐n:G repairable system with N‐policy, repairmen’s multiple synchronous vacations, and redundant dependency. When there is no failed component in the system, the repairmen leave for a vacation, the duration of which follows a phase type distribution.
Wenqing Wu, Yinghui Tang, Alicia Cordero
wiley   +1 more source