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
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
Journal title :
Stochastic Processes and their Applications