Ladder height distributions with marks

DOI10.1016/0304-4149(95)00005-RzbMath0829.60093OpenAlexW2062076118MaRDI QIDQ1899258

Volker Schmidt, Soren Asmussen

Publication date: 15 January 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00005-r

zbMATH Keywords

Palm distributionfluid modelslocal timestationaritymarked point processladder heightsCampbell's formulastochastic risk theory

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (5)

Dam processes with state dependent batch sizes and intermittent production processes with state dependent rates ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ Taylor-series expansion for multivariate characteristics of classical risk processes ⋮ A wide class of heavy-tailed distributions and its applications ⋮ Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion

Cites Work

• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On ladder height distributions of general risk processes
• Rate conservation laws: A survey
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Palm calculus for a process with a stationary random measure and its applications to fluid queues
• A Storage Model with a Two-State Random Environment
• On cycle maxima, first passage problems and extreme value theory for queues
• An insensitivity property of ladder height distributions
• Stationary distributions for fluid flow models with or without brownian noise
• An insensitivity property of the ruin probability
• The ascending ladder height distribution for a certain class of dependent random walks
• [https://portal.mardi4nfdi.de/wiki/Publication:5549427 Station�re zuf�llige Ma�e auf lokalkompakten Abelschen Gruppen]
• Multiple channel queues in heavy traffic. II: sequences, networks, and batches
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