arXiv q-fin· Jos\'{e} Da Fonseca, Yajun Shi, Wenjun Zhang·· 6 hr agoAI Score31
Risk Measures for Infinite-Server Queues Driven by Cox-BESQ Processes
Risk measures for infinite-server queues driven by a Cox-BESQ process
AI summary
This paper proposes an infinite-server queue model driven by a Cox-BESQ process, deriving closed-form expressions for the joint moment generating function of arrival intensity, number of customers in the system, and their time interval integrals. Conditional risk measures for the corresponding variables can be constructed based on this moment generating function, and numerical experiments verify the practical feasibility of the proposed method.
Source:arXiv q-fin · arxiv.org