Exit Times,Overshoot and Undershoot for a Surplus Process in the Presence of an Upper Barrier

We study the movement of a surplus process with initial capital u in the presence of two barriers: a lower barrier at zero and an upper barrier at b (b > u). More specifically, we consider the behaviour of the surplus: (a) in continuous time; and (b) only at claim arrival times. For each of these cases, we find the expected time until the process exits the interval [0,b]. We also obtain results related to the undershoot and overshoot of the surplus which, in particular for case (b) above, are derived under the assumption that the distribution of claim sizes and/or claim interarrival times belongs to the mixed Erlang class. In the final section we discuss the implementation of the methods in a number of examples using computer algebra software. These examples illustrate the efficiency of the methods even in fairly complicated cases.     

Reliability Approximation for Markov Chain Imbeddable Systems

In the present article, a simple method is developed for approximating the reliability of Markov chain imbeddable systems. The approximating formula reduces the problem to the reliability assessment of smaller systems with structure similar to the original systems. Two specific reliability structures which have attracted considerable research interest recently (r-within-consecutive-k-out-of-n system and two dimensional r-within-k ₁ × k ₂-out-of-n ₁ × n ₂ system) are studied by the new approach and numerical calculations are carried out, which reveal the high quality of our approximations. Several possible extensions and generalizations are also presented in brief.