On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues

2018 ◽  
Vol 90 (3-4) ◽  
pp. 307-350 ◽  
Author(s):  
Landy Rabehasaina ◽  
Jae-Kyung Woo
Keyword(s):  
Time Delays ◽  
Infinite Server ◽  
Reward Process ◽  
Infinite Server Queues ◽  
Renewal Reward Process

scholarly journals The density of a passage time for a renewal-reward process perturbed by a diffusion

2013 ◽  
Vol 26 (1) ◽  
pp. 108-112 ◽  
Author(s):  
Christophette Blanchet-Scalliet ◽  
Diana Dorobantu ◽  
Didier Rullière
Keyword(s):  
Passage Time ◽  
Reward Process ◽  
Renewal Reward Process

Sample quantiles of additive renewal reward processes

1996 ◽  
Vol 33 (04) ◽  
pp. 1018-1032 ◽  
Author(s):  
Angelos Dassios
Keyword(s):  
Brownian Motion ◽  
Random Processes ◽  
Independent Increments ◽  
Look Back ◽  
Renewal Reward Processes ◽  
Reward Process ◽  
Renewal Reward Process ◽  
Sample Quantiles

The distribution of the sample quantiles of random processes is important for the pricing of some of the so-called financial ‘look-back' options. In this paper a representation of the distribution of the α-quantile of an additive renewal reward process is obtained as the sum of the supremum and the infimum of two rescaled independent copies of the process. This representation has already been proved for processes with stationary and independent increments. As an example, the distribution of the α-quantile of a randomly observed Brownian motion is obtained.

scholarly journals Networks of infinite-server queues with multiplicative transitions

2018 ◽  
Vol 123-124 ◽  
pp. 35-49 ◽  
Author(s):  
Dieter Fiems ◽  
Michel Mandjes ◽  
Brendan Patch
Keyword(s):  
Infinite Server ◽  
Infinite Server Queues

Policy Improvement and the Newton–Raphson Algorithm for Renewal Reward Processes

1989 ◽  
Vol 3 (3) ◽  
pp. 393-396 ◽  
Author(s):  
J. M. McNamara
Keyword(s):  
Continuous Time ◽  
Successive Approximations ◽  
Average Reward ◽  
Policy Improvement ◽  
Unique Root ◽  
Renewal Reward Processes ◽  
Reward Process ◽  
Newton Raphson ◽  
Renewal Reward Process ◽  
Raphson Algorithm

We consider a renewal reward process in continuous time. The supremum average reward, γ* for this process can be characterised as the unique root of a certain function. We show how one can apply the Newton–Raphson algorithm to obtain successive approximations to γ*, and show that the successive approximations so obtained are the same as those obtained by using the policy improvement technique.

Fuzzy random renewal process and renewal reward process

2007 ◽  
Vol 6 (3) ◽  
pp. 279-295 ◽  
Author(s):  
Ruiqing Zhao ◽  
Wansheng Tang ◽  
Cheng Wang
Keyword(s):  
Renewal Process ◽  
Reward Process ◽  
Renewal Reward Process ◽  
Fuzzy Random
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