Shot-noise queueing models

We provide a survey of so-called shot-noise queues: queueing models with the special feature that the server speed is proportional to the amount of work it faces. Several results are derived for the workload in an M/G/1 shot-noise queue and some of its variants. Furthermore, we give some attention to queues with general workload-dependent service speed. We also discuss linear stochastic fluid networks, and queues in which the input process is a shot-noise process

Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times

We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are coupled in the sense that at a claim arrival epoch, claims are being requested from both reserves and the amounts requested are correlated. In addition, the claim amounts are correlated with the time elapsed since the previous claim arrival. We focus on the probability that this bivariate reserve process survives indefinitely. The infinite- horizon survival problem is shown to be related to the problem of determining the equilibrium distribution of a random walk with vector-valued increments with reflecting boundary. This reflected random walk is actually the waiting time process in a queueing system dual to the bivariate ruin process. Under assumptions on the arrival process and the claim amounts, and using Wiener-Hopf factor- ization with one parameter, we explicitly determine the Laplace-Stieltjes transform of the survival function, c.q., the two-dimensional equilibrium waiting time distribution. Finally, the bivariate transforms are evaluated for some examples, including for proportional reinsurance, and the bivariate ruin functions are numerically calculated using an efficient inversion scheme.Comment: 24 pages, 6 figure

Useful martingales for stochastic storage processes with Lévy-input and decomposition results

In this paper we generalize the martingale of Kella and Whitt to the setting of Lévy-type processes and show that under some quite minimal conditions the local martingales are actually L^2 martingales which upon dividing by the time index converge to zero a.s. and in L^2. We apply these results to generalize known decomposition results for Lévy queues with secondary jump inputs and queues with server vacations or service interruptions. Special cases are polling systems with either compound Poisson or more general Lévy inputs. Keywords: Lévy-type processes, Lévy storage systems, Kella-Whitt martingale, decomposition results, queues with server vacation

Queues and risk processes with dependencies

We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential distributions introduced in [12]. In this setting, we obtain the steady state waiting time distribution and we show that the classical relation between the steady state waiting time and the workload distributions re- mains valid when the independence assumption is relaxed. We also prove duality results with the ruin functions in an ordinary and a delayed ruin process. These extend several known dualities between queueing and risk models in the independent case. Finally we show that there exist stochastic order relations between the waiting times under various instances of correlation

On some tractable growth collapse processes with renewal collapse epochs

In this paper we generalize existing results for the steady state distribution of growth collapse processes with independent exponential inter-collapse times to the case where they have a general distribution on the positive real line having a finite mean. In order to compute the moments of the stationary distribution, no further assumptions are needed. However, in order to compute the stationary distribution, the price that we are required to pay is the restriction of the collapse ratio distribution from a general one concentrated on the unit interval to minus-log-phase-type distributions. A random variable has such a distribution if the negative of its natural logarithm has a phase type distribution. Thus, this family of distributions is dense in the family of all distributions concentrated on the unit interval. The approach is to first study a certain Markov modulated shot-noise process from which the steady state distribution for the related growth collapse model can be inferred via level crossing arguments

Queues with delays in two-state strategies and Lévy input

We consider a reflected Lévy process without negative jumps, starting at the origin. When the reflected process first upcrosses level K, a timer is activated. After D time units, the timer expires and the Lévy exponent of the Lévy process is changed. As soon as the process hits zero again, the Lévy exponent reverses to the original function. If the process has reached the origin before the timer expires then the Lévy exponent does not change. Using martingale techniques, we analyze the steady-state distribution of the resulting process, reflected at the origin. We pay special attention to the cases of deterministic and exponential timers, and to the following three special Lévy processes: (i) a compound Poisson process plus negative drift (corresponding to an M/G/1 queue), (ii) Brownian motion, and (iii) a Lévy process that is a subordinator until the timer expires. © Applied Probability Trust 2008

Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models

In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramer-Lundberg model with and without tax payments. We also provide a relation of the Cramer-Lundberg risk model with the G/G/infinity queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramer-Lundberg risk model