Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes
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DOI: 10.1007/s11009-014-9416-5
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- Janssen, Jacques, 1980. "Some Transient Results on the M/SM/1 Special Semi-Markov Model in Risk and Queueing Theories," ASTIN Bulletin, Cambridge University Press, vol. 11(1), pages 41-51, June.
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- Ronald A. Howard & James E. Matheson, 1972. "Risk-Sensitive Markov Decision Processes," Management Science, INFORMS, vol. 18(7), pages 356-369, March.
- V. S. Borkar & S. P. Meyn, 2002. "Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 192-209, February.
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Keywords
Aggregate claim amount process; Claim number; Markov chains; Reward processes; Homogeneity;All these keywords.
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