LADDER HEIGHT DISTRIBUTIONS WITH MARKS

被引：6

作者：

ASMUSSEN, S ^{[1
]}

SCHMIDT, V ^{[1
]}

机构：

[1] UNIV ULM, DEPT STOCHAST, D-89069 ULM, GERMANY

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1995年 / 58卷 / 01期

关键词：

CAMPBELLS FORMULA; FLUID MODELS; LADDER HEIGHTS; LOCAL TIME; MARKED POINT PROCESS; PALM DISTRIBUTION; STATIONARITY; STOCHASTIC RISK THEORY;

D O I：

10.1016/0304-4149(95)00005-R

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 Campbell's 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.

引用

页码：105 / 119

页数：15

共 27 条

[1] STOCHASTIC-THEORY OF A DATA-HANDLING SYSTEM WITH MULTIPLE SOURCES [J].