| Article ID: | iaor20122526 |
| Volume: | 6 |
| Issue: | 3 |
| Start Page Number: | 489 |
| End Page Number: | 501 |
| Publication Date: | Mar 2012 |
| Journal: | Optimization Letters |
| Authors: | Loizides M, Yannacopoulos A |
| Keywords: | queues: theory, risk, markov processes |
We explore the use of the concept of lumpability of continuous time discrete state space Markov processes in the context of risk management and propose an approximate lumpability procedure that may be useful when exact lumpability does not hold.