Asymptotic inversion of the Erlang B formula

The Erlang B formula represents the steady-state blocking probability in the Erlang loss model or M=M=s=s queue. We derive asymptotic expansions for the offered load that matches, for a given number of servers, a certain blocking probability. In addressing this inversion problem we make use of various asymptotic expansions for the incomplete gamma function. A similar inversion problem is investigated for the Erlang C formula

On the fractional Poisson process and the discretized stable subordinator

The fractional Poisson process and the Wright process (as discretization of the stable subordinator) along with their diffusion limits play eminent roles in theory and simulation of fractional diffusion processes. Here we have analyzed these two processes, concretely the corresponding counting number and Erlang processes, the latter being the processes inverse to the former. Furthermore we have obtained the diffusion limits of all these processes by well-scaled refinement of waiting times and jumpsComment: 30 pages, 4 figures. A preliminary version of this paper was an invited talk given by R. Gorenflo at the Conference ICMS2011, held at the International Centre of Mathematical Sciences, Pala-Kerala (India) 3-5 January 2011, devoted to Prof Mathai on the occasion of his 75 birthda

On finite-time ruin probabilities with reinsurance cycles influenced by large claims

Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. As this model needs the claim amounts to be Phase-type distributed, we explain how to fit mixtures of Erlang distributions to long-tailed distributions. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied.

On the valuation ofconstant barrier options under spectrally one-sided exponential L&evy models and Carr’s approximation for American puts.

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential L&evy model, and uses it to implement ofCarr’s approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary and option value are obtained. c 2002 Elsevier Science B.V. All rights reservedAmerican options; Perpetual approximation; Spectrally negative exponential L&evy process;

On finite-time ruin probabilities with reinsurance cycles influenced by large claims

International audienceMarket cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. As this model needs the claim amounts to be Phase-type distributed, we explain how to fit mixtures of Erlang distributions to long-tailed distributions. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied