Paper on risk measures for Cox-BESQ-driven infinite-server queues released
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José Da Fonseca, Yajun Shi, and Wenjun Zhang published an academic paper titled "Risk Measures for Infinite-Server Queues Driven by Cox-BESQ Processes" on arXiv q-fin on October 28, 2026. The 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, the number of customers in the system, and their time-interval integrals. Conditional risk measures for corresponding variables can be constructed based on this moment generating function, and numerical experiments verify the practical feasibility of the proposed method.
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- arXiv q-finRisk Measures for Infinite-Server Queues Driven by Cox-BESQ Processes
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.
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