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Transient Behavior of Threshold-Dependent Ruin and Queueing Models with Phase-Type Jumps
We study the transient behavior of two threshold-dependent stochastic models: a Cramér--Lundberg risk model and an M/G/1-type queueing model. In both models, the dynamics are driven by two different compound Poisson processes with drift, with the governing process depending on whether the current st
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