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Approximation to GPH Distributions and Its Application
백장현 한국데이터정보과학회 2006 한국데이터정보과학회지 Vol.17 No.3
In this paper we consider GPH distribution that is defined as a distribution for sum of random number of random variables following exponential distribution. We establish approximation process of general distributions to GPH distributions and offer numerical results for various cases to show the accuracy of the approximation. We also propose analysis method of delay distribution of queueing systems using approximation to GPH distributions and offer numerical results for various queueing systems to show applicability of GPH approximation.
Approximation to GPH Distributions and Its Application
Baek, Jang-Hyun 한국데이터정보과학회 2006 한국데이터정보과학회지 Vol.17 No.3
In this paper we consider GPH distribution that is defined as a distribution for sum of random number of random variables following exponential distribution. We establish approximation process of general distributions to GPH distributions and offer numerical results for various cases to show the accuracy of the approximation. We also propose analysis method of delay distribution of queueing systems using approximation to GPH distributions and offer numerical results for various queueing systems to show applicability of GPH approximation.
윤복식(Bok Sik Yoon) 한국경영과학회 2015 한국경영과학회지 Vol.40 No.3
Even though ruin probability is a fundamental value to determine the insurance premium and policy, the complexity involved in computing its exact value forced us resort to an approximate method. In this paper, we first present an exact method to compute ruin probability under the assumption that the claim size has a GPH distribution, Then, for the arbitrary claim size distribution, we provide a method computing ruin probability quite accurately by approximating the distribution as a GPH. The validity of the proposed method demonstrated by a numerical example. The GPH approach seems to be valid for heavy-tailed claims as well as usual light-tailed claims.