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In this paper we will build a bank model using Poisson measures and Jackson queueing networks. We take into account the relationship between the Poisson and the exponential distributions, and we consider for each credit/deposit type a node where shocks are modeled as the compound Poisson processes. The transmissions of the shocks are modeled as moving between nodes in Jackson queueing networks, the external shocks are modeled as external arrivals, and the absorption of shocks as departures from the network.(original abstract)
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autor
- Technical University of Civil Engineering Bucharest, Romania
Bibliografia
- Applebaum, D. (2009). Lévy Processes and Stochastic Calculus, Second Edition, Cambridge University Press.
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- Ciuiu, D. (2009). Sisteme şi reţele de servire. Bucharest: Matrix Rom. (English: "Queueing Systems and Queueing Networks'').
- Cont, R. & Tankov, P. (2004). Financial Modeling with Jump Processes. Boca Raton, London, New York, Washinton: Chapman & Hall/CRC Financial Mathematics Series.
- Drăgan, I-M. & Simionescu, M. (2013). The Natural Tolerance Limit for the Inverse Weibull Model and the Optimization of Technical Systems. International Journal of Academic Research, 5 (6), 7-12.
- Garzia, M., Garzia, R., Kiemele, M. & Lockhart, C. (1990). Network Modeling, Simulation and Analysis. New York, Basel: Marcel Decker.
- Geman, H., Madan, D. & Yor, M. (2001). Asset Prices are Brownian Motion: Only in Business Time. In Quantitative Analysis in Finance Markets. Ed. Marco Avellaneda, World Scientific, 103-146.
- Kleinrock, L. (1975). Queueing Systems. John Wiley and Sons.
- Purcaru, I. & Purcaru, O. (2005). Introducere în matematici financiare. Modele şi formule. Bucharest: Biblioteca de Economie Matematică. English: Introduction to Financial Mathematics. Models and Formulae.
- Singh, V.P. & Guo, H. (1995). Parameter estimation for 3-parameter generalized Pareto distribution by the principle of maximum entropy, Hydrological Sciences. Journal des Sciences Hydrologiques 40 (2), 165-181.
- Zbăganu, Gh. (2004). Metode matematice în teoria riscului şi actuariat. Ed. Universităţii Bucureşti. English: Mathematical methods in risk theory and actuaries.
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Bibliografia
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