lrabehasaina - Recherche

Research interests

Initially starting from fluid queues and stochastic fluid networks, my research topics have slightly shifted to the study of (general) stochastic models. Those mainly include study of ruin problems and risk processes with reinvestment and/or diffusion. Another hot topic is reinsurance, which is in some way related to ruin problems in dimension greater than 1. I am also interested in links between first passage problems (typically applied to Risk theory) and Queueing theory, particularly in the so-called duality relation as first explained in the paper by Asmussen and Schock Petersen (1988). These days, I am also getting an interest in reliability issues, specifically in degradation/maintenance problems, as well as mathematical problems issued from biology/genomic issues, and estimation in ARMA models with regime switching. All in all, my global interest lies in applied probability and applications/study of stochastic models to various problems in economics, life sciences, telecoms, etc., in a wide sense.

Published Papers (with downloadable preprints)

- Al Dahik C., Al Masry Z., Chrétien S., Nicod J.M., Rabehasaina L. (2022). An SDP Dual Relaxation for the Robust Shortest-Path Problem with Ellipsoidal Uncertainty: Pierra’s Decomposition Method and a New Primal Frank–Wolfe-Type Heuristics for Duality Gap Evaluation, Mathematics, 10(21), 4009, [pdf].
- Al Masry Z., Rabehasaina L., Verdier G. (2022). Change-level detection for Lévy subordinators, Stochastic Processes and their Applications, 147, pp. 423-455, [pdf].
- Rabehasaina L. (2021). Asymptotics for infinite server queues with fast/slowMarkov switching and fat tailed service times, Stochastic Models, 37(4), pp.627-654, [pdf].
- Rabehasaina L., Woo J.K. (2021). Multitype branching process with nonhomogeneous Poisson and contagious Poisson immigration, Journal of Applied Probability, 58(4), pp.1007-1042, [pdf]....
- Rabehasaina L., Woo J.K. (2020). Analysis of the infinite server queues with semi-markovian multivariate discounted inputs, Queueing Systems, 94(3) pp.393-420, [pdf].
- Boubacar Maïnassara, Y. and Rabehasaina, L. (2020), online since 2019. Estimation of weak ARMA models with regime changes, Statistical Inference for Stochastic Processes, 23(1) pp.1-52, [pdf].
- Cheung E.C.K., Rabehasaina L., Woo J.K., Xu R. (2019). Asymptotic Correlation Structure of Discounted Incurred But Not Reported Claims under Fractional Poisson Arrival Process, European Journal of Operation Research, 276(2) pp.582-601, (the proofs of Prop 3, Lemma 1 and Lemma 2 are available here) [pdf]. (full preprint version)
- Rabehasaina L., Woo J.K. (2018). On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR process and infinite server queues , Queueing Systems, 90(3) pp.307-350, [pdf].
- Biard R., Mallein B., Rabehasaina L. (2018), online since 2017. Branching random walks with trapping zones, Stochastic Processes and their Applications, 128(7) pp.2341-2366, [pdf].
- Dombry C., Rabehasaina L. (2017). High order expansions for renewal functions and applications to ruin theory, Annals of Applied Probability, 27(4), pp.2342-2382. [link], [pdf]
- Avram F., Badescu A.L., Pistorius M.R. and Rabehasaina L. (2016). On a class of dependent Sparre Andersen risk models and a bailout application, Insurance: Mathematics and Economics, 71, pp.27-39. [.pdf]
- Paroissin C. and Rabehasaina L. (2015), online since 2013. First and last passage times of spectrally positive Lévy processes with application to reliability, Methodology and Computing in Applied Probability, 17(2), pp.351-372. [.pdf]
- Rabehasaina L. (2012) A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion, Stochastic Processes and their Applications, 122(8), pp.2925-2960. [.pdf]. For results and ideas of proofs contained in this paper, you can have a look at this poster.
- Rabehasaina L. and Tsai C.C.L. (2013), online since 2011. Ruin time and aggregate claim amount up to ruin time for the perturbed risk process, Scandinavian Actuarial Journal, 3, pp. 186-212. [.ps]
- Badescu A.L., Cheung E.C.K. and Rabehasaina L. (2011). A two-dimensional risk model with proportional reinsurance, Journal of Applied Probability, 48(4), pp.749-765. [.pdf]. If you're bothered with reading the paper as well as the one just below, you can have a look at the corresponding slides.
- Rabehasaina L. (2009). Risk processes with interest force in Markovian environment, Stochastic Models, 25(4), pp.580-613. [.ps]. The corresponding slides are here.
- Avram F., Leonenko N.N, and Rabehasaina L. (2009) . Series expansions for the first passage distribution of Wong-Pearson jump-diffusions, Stochastic Analysis and Applications, 27(4), pp.770-796. [.pdf]
- Gaujal B. and Rabehasaina L. (2007). Open-loop control of stochastic fluid systems and applications, Operations research letters, 35(4), pp.455-462. [.pdf]
- Rabehasaina L. (2006). Monotonicity properties of multi-dimensional reflected diffusions in random environment and application, Stochastic Processes and their Applications, 116(2), pp.178-199. [.pdf]
- Rabehasaina L. (2006). Moments of a Markov-modulated, irreducible network of fluid queues, Journal of Applied Probability, 43(2), pp.510-522. [.pdf]
- Rabehasaina L. and Sericola B. (2005). Transient Analysis of Averaged Queue Length in Markovian Queues, Stochastic Models (special issue MAM5 conference, Pisa), 21(2-3), pp.599-613. [.pdf]
- Rabehasaina L. and Sericola B. (2004). A second-order Markov-modulated fluid queue with linear service rate, Journal of Applied Probability, 41(3), 758-777. [.pdf]
- Rabehasaina L. and Sericola B. (2003). Stability analysis of second-order fluid flow models in a stationary ergodic environment, Annals of Applied Probability, 13(4), 1449-1473. [.pdf]