Queueing and risk models with dependencies

O. J. Boxma and M. R. H. Mandjes ()
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O. J. Boxma: Eindhoven University of Technology
M. R. H. Mandjes: University of Amsterdam

Queueing Systems: Theory and Applications, 2022, vol. 102, issue 1, No 5, 69-86

Abstract: Abstract This paper analyzes various stochastic recursions that arise in queueing and insurance risk models with a ‘semi-linear’ dependence structure. For example, an interarrival time depends on the workload, or the capital, immediately after the previous arrival; or the service time of a customer depends on her waiting time. In each case, we derive and solve a fixed-point equation for the Laplace–Stieltjes transform of a key performance measure of the model, like waiting time or ruin time.

Keywords: M/G/1 queue; Waiting time; Workload; Cramér–Lundberg insurance risk model; Ruin time; 60K25 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11134-022-09863-7

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