Actuarial applications of multivariate phase-type distributions : model calibration and credibility

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

Fitting phase type distribution to service process with sequential phases

The work of this thesis is concerned with fitting Hypo-exponential and Erlang phase type distributions for modeling real life processes with non-exponential service time. There exist situations where exponential distributions cannot explain the distribution of service time properly. This thesis presents the application of two traditional statistical estimation techniques to approximate the service distributions of processes with coefficient of variation less than one. It also presents an algorithm to fit Hypo-exponential distribution for complex situations which can’t be handled properly with traditional estimation techniques. The result shows the effect of variation of sample size and other parameters on the efficiency of the estimation techniques by comparing their respective outputs. Furthermore it checks how accurately the proposed algorithm approximates a given distribution.

maintenance model for systems with phase-type distributed times to failure

Magdeburg, Univ., Fak. für Mathematik, Diss., 2010

The Coxian Phase-type distribution with a Hidden Node

Healthcare providers are under increased pressure to ensure that the quality
of care delivered to patients are off the highest standard. Modelling quality of
care is difficult due to the many ways of defining it. This paper introduces a potential
model which could be used to take quality of care into account when modelling
length of stay. The Coxian phase-type distribution is used to model length of stay
and quality of care incorporated into this using a Hidden Markov model. This model
is then applied to

Queueing Models with Vacations and Working Vacations

The thesis entitled “Queueing Models with Vacations and Working Vacations" consists of seven chapters including the introductory chapter. In chapters 2 to 7 we analyze different queueing models highlighting the role played by vacations and working vacations. The duration of vacation is exponentially distributed in all these models and multiple vacation policy is followed.In chapter 2 we discuss an M/M/2 queueing system with heterogeneous servers, one of which is always available while the other goes on vacation in the absence of customers waiting for service. Conditional stochastic decomposition of queue length is derived. An illustrative example is provided to study the effect of the input parameters on the system performance measures. Chapter 3 considers a similar setup as chapter 2. The model is analyzed in essentially the same way as in chapter 2 and a numerical example is provided to bring out the qualitative nature of the model. The MAP is a tractable class of point process which is in general nonrenewal. In spite of its versatility it is highly tractable as well. Phase type distributions are ideally suited for applying matrix analytic methods. In all the remaining chapters we assume the arrival process to be MAP and service process to be phase type. In chapter 4 we consider a MAP/PH/1 queue with working vacations. At a departure epoch, the server finding the system empty, takes a vacation. A customer arriving during a vacation will be served but at a lower rate.Chapter 5 discusses a MAP/PH/1 retrial queueing system with working vacations.In chapter 6 the setup of the model is similar to that of chapter 5. The signicant dierence in this model is that there is a nite buer for arrivals.Chapter 7 considers an MMAP(2)/PH/1 queueing model with a nite retrial group

Modelo de risco com dependência entre os valores das indenizações e seus intervalos entre ocorrências

We present a dependent risk model to describe the surplus of an insurance portfolio, based on the article "A ruin model with dependence between claim sizes and claim intervals"(Albrecher and Boxma [1]). An exact expression for the Laplace transform of the survival function of the surplus is derived. The results obtained are illustrated by several numerical examples and the case when we ignore the dependence structure present in the model is investigated. For the phase type claim sizes, we study by the survival probability, considering this is a class of distributions computationally tractable and more general

On Multi- Server Queues With Consultation With Main Server

Queueing Theory is the mathematical study of queues or waiting lines. Queues abound in every day life - in computer networks, in tra c islands, in communication of electro-magnetic signals, in telephone exchange, in bank counters, in super market checkouts, in doctor's clinics, in petrol pumps, in o ces where paper works to be processed and many other places. Originated with the published work of A. K. Erlang in 1909 [16] on congestion in telephone tra c, Queueing Theory has grown tremendously in a century. Its wide range applications includes Operations Research, Computer Science, Telecommunications, Tra c Engineering, Reliability Theory, etc.

Grain coarsening in contact metamorphic carbonates: effects of second-phase particles, fluid flow and thermal perturbations

Under contact metamorphic conditions, carbonate rocks in the direct vicinity of the Adamello pluton reflect a temperature-induced grain coarsening. Despite this large-scale trend, a considerable grain size scatter occurs on the outcrop-scale indicating local influence of second-order effects such as thermal perturbations, fluid flow and second-phase particles. Second-phase particles, whose sizes range from nano- to the micron-scale, induce the most pronounced data scatter resulting in grain sizes too small by up to a factor of 10, compared with theoretical grain growth in a pure system. Such values are restricted to relatively impure samples consisting of up to 10 vol.% micron-scale second-phase particles, or to samples containing a large number of nano-scale particles. The obtained data set suggests that the second phases induce a temperature-controlled reduction on calcite grain growth. The mean calcite grain size can therefore be expressed in the form D 1⁄4 C2 eQ*/RT(dp/fp)m*, where C2 is a constant, Q* is an activation energy, T the temperature and m* the exponent of the ratio dp/fp, i.e. of the average size of the second phases divided by their volume fraction. However, more data are needed to obtain reliable values for C2 and Q*. Besides variations in the average grain size, the presence of second-phase particles generates crystal size distribution (CSD) shapes characterized by lognormal distributions, which differ from the Gaussian-type distributions of the pure samples. In contrast, fluid-enhanced grain growth does not change the shape of the CSDs, but due to enhanced transport properties, the average grain sizes increase by a factor of 2 and the variance of the distribution increases. Stable d18O and d13C isotope ratios in fluid-affected zones only deviate slightly from the host rock values, suggesting low fluid/rock ratios. Grain growth modelling indicates that the fluid-induced grain size variations can develop within several ka. As inferred from a combination of thermal and grain growth modelling, dykes with widths of up to 1 m have only a restricted influence on grain size deviations smaller than a factor of 1.1.To summarize, considerable grain size variations of up to one order of magnitude can locally result from second-order effects. Such effects require special attention when comparing experimentally derived grain growth kinetics with field studies.

MuRF1 is a muscle fiber-type II associated factor and together with MuRF2 regulates type-II fiber trophicity and maintenance

MuRF1 is a member of the RBCC (RING, B-box, coiled-coil) superfamily that has been proposed to act as an atrogin during muscle wasting. Here, we show that MuRF1 is preferentially induced in type-II muscle fibers after denervation. Fourteen days after denervation, MuRF1 protein was further elevated but remained preferentially expressed in type-II muscle fibers. Consistent with a fiber-type dependent function of MuRF1, the tibialis anterior muscle (rich in type-II muscle fibers) was considerably more protected in MuRF1-KO mice from muscle wasting when compared to soleus muscle with mixed fiber-types. We also determined fiber-type distributions in MuRF1/MuRF2 double-deficient KO (dKO) mice, because MuRF2 is a close homolog of MuRF1. MuRF1/MuRF2 dKO mice showed a profound loss of type-II fibers in soleus muscle. As a potential mechanism we identified the interaction of MuRF1/MuRF2 with myozenin-1, a calcineurin/NFAT regulator and a factor required for maintenance of type-II muscle fibers. MuRF1/MuRF2 dKO mice had lost myozenin-1 expression in tibialis anterior muscle, implicating MuRF1/MuRF2 as regulators of the calcineurin/NFAT pathway. In summary, our data suggest that expression of MuRF1 is required for remodeling of type-II fibers under pathophysiological stress states, whereas MuRF1 and MuRF2 together are required for maintenance of type-II fibers, possibly via the regulation of myozenin-1. (C) 2010 Elsevier Inc. All rights reserved.

A Molecular-scale Programmable Stochastic Process Based On Resonance Energy Transfer Networks: Modeling And Applications

While molecular and cellular processes are often modeled as stochastic processes, such as Brownian motion, chemical reaction networks and gene regulatory networks, there are few attempts to program a molecular-scale process to physically implement stochastic processes. DNA has been used as a substrate for programming molecular interactions, but its applications are restricted to deterministic functions and unfavorable properties such as slow processing, thermal annealing, aqueous solvents and difficult readout limit them to proof-of-concept purposes. To date, whether there exists a molecular process that can be programmed to implement stochastic processes for practical applications remains unknown.

In this dissertation, a fully specified Resonance Energy Transfer (RET) network between chromophores is accurately fabricated via DNA self-assembly, and the exciton dynamics in the RET network physically implement a stochastic process, specifically a continuous-time Markov chain (CTMC), which has a direct mapping to the physical geometry of the chromophore network. Excited by a light source, a RET network generates random samples in the temporal domain in the form of fluorescence photons which can be detected by a photon detector. The intrinsic sampling distribution of a RET network is derived as a phase-type distribution configured by its CTMC model. The conclusion is that the exciton dynamics in a RET network implement a general and important class of stochastic processes that can be directly and accurately programmed and used for practical applications of photonics and optoelectronics. Different approaches to using RET networks exist with vast potential applications. As an entropy source that can directly generate samples from virtually arbitrary distributions, RET networks can benefit applications that rely on generating random samples such as 1) fluorescent taggants and 2) stochastic computing.

By using RET networks between chromophores to implement fluorescent taggants with temporally coded signatures, the taggant design is not constrained by resolvable dyes and has a significantly larger coding capacity than spectrally or lifetime coded fluorescent taggants. Meanwhile, the taggant detection process becomes highly efficient, and the Maximum Likelihood Estimation (MLE) based taggant identification guarantees high accuracy even with only a few hundred detected photons.

Meanwhile, RET-based sampling units (RSU) can be constructed to accelerate probabilistic algorithms for wide applications in machine learning and data analytics. Because probabilistic algorithms often rely on iteratively sampling from parameterized distributions, they can be inefficient in practice on the deterministic hardware traditional computers use, especially for high-dimensional and complex problems. As an efficient universal sampling unit, the proposed RSU can be integrated into a processor / GPU as specialized functional units or organized as a discrete accelerator to bring substantial speedups and power savings.