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
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