Journal
QUEUEING SYSTEMS
Volume 55, Issue 4, Pages 207-222Publisher
SPRINGER
DOI: 10.1007/s11134-007-9017-x
Keywords
fluid flow; finite buffer; transient analysis; insurance risk; dividend barrier
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Based on the matrix-analytic approach to fluid flows initiated by Ramaswami, we develop an efficient time dependent analysis for a general Markov modulated fluid flow model with a finite buffer and an arbitrary initial fluid level at time 0. We also apply this to an insurance risk model with a dividend barrier and a general Markovian arrival process of claims with possible dependencies in successive inter-claim intervals and in claim sizes. We demonstrate the implementability and accuracy of our algorithms through a set of numerical examples that could also serve as test cases for comparing other solution approaches.
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