Ladder height distributions with marks

Søren Asmussen and Volker Schmidt

Stochastic Processes and their Applications, 1995, vol. 58, issue 1, 105-119

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 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.

Keywords: Campbell's; formula; Fluid; models; Ladder; heights; Local; time; Marked; point; process; Palm; distribution; Stationarity; Stochastic; risk; theory (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (3)

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