Queues and risk models with simultaneous arrivals

We focus on a particular connection between queueing and risk models in a multi-dimensional setting. We first consider the joint workload process in a queueing model with parallel queues and simultaneous arrivals at the queues. For the case that the service times are ordered (from largest in the first queue to smallest in the last queue) we obtain the Laplace-Stieltjes transform of the joint stationary workload distribution. Using a multivariate duality argument between queueing and risk models, this also gives the Laplace transform of the survival probability of all books in a multivariate risk model with simultaneous claim arrivals and the same ordering between claim sizes. Other features of the paper include a stochastic decomposition result for the workload vector, and an outline how the two-dimensional risk model with a general two-dimensional claim size distribution (hence without ordering of claim sizes) is related to a known Riemann boundary value problem

Positive and negative streamers in ambient air: measuring diameter, velocity and dissipated energy

Positive and negative streamers are studied in ambient air at 1 bar; they emerge from a needle electrode placed 40 mm above a planar electrode. The amplitudes of the applied voltage pulses range from 5 to 96 kV; most pulses have rise times of 30 ns or shorter. Diameters, velocities and energies of the streamers are measured. Two regimes are identified; a low voltage regime where only positive streamers appear and a high voltage regime where both positive and negative streamers exist. Below 5 kV, no streamers emerge. In the range from 5 to 40 kV, positive streamers form, while the negative discharges only form a glowing cloud at the electrode tip, but no streamers. For 5 to 20 kV, diameters and velocities of the positive streamers have the minimal values of d=0.2 mm and v \approx 10^5 m/s. For 20 to 40 kV, their diameters increase by a factor 6 while the voltage increases only by a factor 2. Above the transition value of 40 kV, streamers of both polarities form; they strongly resemble each other, though the positive ones propagate further; their diameters continue to increase with applied voltage. For 96 kV, positive streamers attain diameters of 3 mm and velocities of 4*10^6 m/s, negative streamers are about 20 % slower and thinner. An empirical fit formula for the relation between velocity v and diameter d is v=0.5 d^2/(mm ns) for both polarities. Streamers of both polarities dissipate energies of the order of several mJ per streamer while crossing the gap.Comment: 20 pages, 9 figures, accepted for J. Phys.

Heavy traffic analysis of roving server networks

This paper studies the heavy-traffic (HT) behaviour of queueing networks with a single roving server. External customers arrive at the queues according to independent renewal processes and after completing service, a customer either leaves the system or is routed to another queue. This type of customer routing in queueing networks arises very naturally in many application areas (in production systems, computer- and communication networks, maintenance, etc.). In these networks, the single most important characteristic of the system performance is oftentimes the path time, i.e. the total time spent in the system by an arbitrary customer traversing a specific path. The current paper presents the first HT asymptotic for the path-time distribution in queueing networks with a roving server under general renewal arrivals. In particular, we provide a strong conjecture for the system's behaviour under HT extending the conjecture of Coffman et al. [E.G. Coffman Jr., A.A. Puhalskii, M.I. Reiman 1995 and 1998] to the roving server setting of the current paper. By combining this result with novel light-traffic asymptotics we derive an approximation of the mean path-time for arbitrary values of the load and renewal arrivals. This approximation is not only highly accurate for a wide range of parameter settings, but is also exact in various limiting cases

Inception and propagation of positive streamers in high-purity nitrogen: effects of the voltage rise-rate

Controlling streamer morphology is important for numerous applications. Up to now, the effect of the voltage rise rate was only studied across a wide range. Here we show that even slight variations in the voltage rise can have significant effects. We have studied positive streamer discharges in a 16 cm point-plane gap in high-purity nitrogen 6.0, created by 25 kV pulses with a duration of 130 ns. The voltage rise varies by a rise rate from 1.9 kV/ns to 2.7 kV/ns and by the first peak voltage of 22 to 28 kV. A structural link is found between smaller discharges with a larger inception cloud caused by a faster rising voltage. This relation is explained by the greater stability of the inception cloud due to a faster voltage rise, causing a delay in the destabilisation. Time-resolved measurements show that the inception cloud propagates slower than an earlier destabilised, more filamentary discharge. This explains that the discharge with a faster rising voltage pulse ends up to be shorter. Furthermore, the effect of remaining background ionisation in a pulse sequence has been studied, showing that channel thickness and branching rate are locally affected, depending on the covered volume of the previous discharge.Comment: 16 pages, 9 figure

An optimization approach to adaptive multi-dimensional capital management

Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with multiple business lines including allocation. The individual capital reserve of each line can be represented by means of classical models, such as the conventional Cram\'{e}r-Lundberg model, but the challenge lies in soundly modelling the correlations between the business lines. We propose a simple yet versatile approach that allows for dependence by introducing a common environmental factor. We present a novel Bayesian approach to calibrate the latent environmental state distribution based on observations concerning the claim processes. The calibration approach is adjusted for an environmental factor that changes over time. The convergence of the calibration procedure towards the true environmental state is deduced. We then point out how to determine the optimal initial capital of the different business lines under specific constraints on the ruin probability of subsets of business lines. Upon combining the above findings, we have developed an easy-to-implement approach to capital risk management in a multi-dimensional insurance risk model

Positive and negative streamers in ambient air: modeling evolution and velocities

We simulate short positive and negative streamers in air at standard temperature and pressure. They evolve in homogeneous electric fields or emerge from needle electrodes with voltages of 10 to 20 kV. The streamer velocity at given streamer length depends only weakly on the initial ionization seed, except in the case of negative streamers in homogeneous fields. We characterize the streamers by length, head radius, head charge and field enhancement. We show that the velocity of positive streamers is mainly determined by their radius and in quantitative agreement with recent experimental results both for radius and velocity. The velocity of negative streamers is dominated by electron drift in the enhanced field; in the low local fields of the present simulations, it is little influenced by photo-ionization. Though negative streamer fronts always move at least with the electron drift velocity in the local field, this drift motion broadens the streamer head, decreases the field enhancement and ultimately leads to slower propagation or even extinction of the negative streamer.Comment: 18 pages, 10 figure

Probing photo-ionization: Experiments on positive streamers in pure gasses and mixtures

Positive streamers are thought to propagate by photo-ionization whose parameters depend on the nitrogen:oxygen ratio. Therefore we study streamers in nitrogen with 20%, 0.2% and 0.01% oxygen and in pure nitrogen, as well as in pure oxygen and argon. Our new experimental set-up guarantees contamination of the pure gases to be well below 1 ppm. Streamers in oxygen are difficult to measure as they emit considerably less light in the sensitivity range of our fast ICCD camera than the other gasses. Streamers in pure nitrogen and in all nitrogen/oxygen mixtures look generally similar, but become somewhat thinner and branch more with decreasing oxygen content. In pure nitrogen the streamers can branch so much that they resemble feathers. This feature is even more pronounced in pure argon, with approximately 10^2 hair tips/cm^3 in the feathers at 200 mbar; this density could be interpreted as the free electron density creating avalanches towards the streamer stem. It is remarkable that the streamer velocity is essentially the same for similar voltage and pressure in all nitrogen/oxygen mixtures as well as in pure nitrogen, while the oxygen concentration and therefore the photo-ionization lengths vary by more than five orders of magnitude. Streamers in argon have essentially the same velocity as well. The physical similarity of streamers at different pressures is confirmed in all gases; the minimal diameters are smaller than in earlier measurements.Comment: 28 pages, 14 figures. Major differences with v1: - appendix and spectra removed - subsection regarding effects of repetition frequency added - many more smaller change