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Significant correlations between arrivals of load-generating events make the numerical evaluation of the workload of a system a challenging problem. In this paper, we construct highly accurate approximations of the workload distribution of the MAP/G/1 queue that capture the tail behavior of the exact workload distribution and provide a bounded relative error. Motivated by statistical analysis, we consider the service times as a mixture of a phase-type and a heavy-tailed distribution. With the aid of perturbation analysis, we derive our approximations as a sum of the workload distribution of the MAP/PH/1 queue and a heavy-tailed component that depends on the perturbation parameter. We refer to our approximations as corrected phase-type approximations, and we exhibit their performance with a numerical study.
We develop accurate approximations of the delay distribution of the MArP/G/1 queue that cap- ture the exact tail behavior and provide bounded relative errors. Motivated by statistical analysis, we consider the service times as a mixture of a phase-ty
Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative errors. M
Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging. To overcome this, an attractive way is to approximate the claim sizes with a phase
In many applications, significant correlations between arrivals of load-generating events make the numerical evaluation of the load of a system a challenging problem. Here, we construct very accurate approximations of the workload distribution of the
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed, we assume instead that the claim sizes are phase-type perturbed by a h