• Title of article

    Ladder height distributions with marks

  • Author/Authors

    Asmussen، نويسنده , , Sّren and Schmidt، نويسنده , , Volker، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1995
  • Pages
    15
  • From page
    105
  • To page
    119
  • Abstract
    For risk processes with a general stationary input, a representation formula of ladder height distributions is proved which includes some additional information on process behaviour at the ladder epoch. The proof is short and probabilistic, and utilizes time reversal, occupation measures and Campbellʹs formula. The results are applied to stochastic fluid models driven by a general stationary process and the probability is determined that ruin occurs in a given state of the environment.
  • Keywords
    Campbellיs formula , Local time , marked point process , Palm distribution , Stochastic risk theory , Ladder heights , Fluid models , Stationarity
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    1995
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1575724