The Recurrence Classification of Risk and Storage Processes
From MaRDI portal
Publication:4181564
DOI10.1287/moor.3.1.57zbMath0397.90033MaRDI QIDQ4181564
J. Michael Harrison, Sidney I. Resnick
Publication date: 1978
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.3.1.57
90B05: Inventory, storage, reservoirs
90C40: Markov and semi-Markov decision processes
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Related Items
Monotone Stochastic Recursions and their Duals, Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities, Dam processes with state dependent batch sizes and intermittent production processes with state dependent rates, Recurrence-transience criteria for storage processes, Calculation of finite time ruin probabilities for some risk models, A large deviation estimate for ruin probabilities, Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve, A large deviation principle for the risk process with varying premium