LADDER HEIGHT DISTRIBUTIONS WITH MARKS

Authors
ASMUSSEN S SCHMIDT V
Citation
S. Asmussen et V. Schmidt, LADDER HEIGHT DISTRIBUTIONS WITH MARKS, Stochastic processes and their applications, 58(1), 1995, pp. 105-119
Citations number
27
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
58
Issue
1
Year of publication
1995
Pages
105 - 119
Database
ISI
SICI code
0304-4149(1995)58:1<105:LHDWM>2.0.ZU;2-1
Abstract
For risk processes with a general stationary input, a representation f ormula of ladder height distributions is proved which includes some ad ditional information on process behaviour at the ladder epoch. The pro of 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 probabili ty is determined that ruin occurs in a given state of the environment.