Lumpable Markov chains in risk management

被引：1

作者：

Loizides, M. I. ^{[1
]}

Yannacopoulos, A. N. ^{[1
]}

机构：

[1] Athens Univ Econ & Business, Dept Stat, Athens 10434, Greece

来源：

OPTIMIZATION LETTERS | 2012年 / 6卷 / 03期

关键词：

Risk management; Markov chains; Lumpability;

D O I：

10.1007/s11590-010-0275-x

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We explore the use of the concept of lumpability of continuous time discrete state space Markov processes in the context of risk management and propose an approximate lumpability procedure that may be useful when exact lumpability does not hold.

引用

页码：489 / 501

页数：13

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