Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion (Q5938024)
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scientific article; zbMATH DE number 1621414
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion |
scientific article; zbMATH DE number 1621414 |
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Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion (English)
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3 March 2002
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The risk model is described by an ergodic marked point process. This model is perturbed by a Lévy process with no downward jumps. The (modified) ladder height is defined as the first epoch where an event of the marked point process leads to a new maximum. Properties of the process until the first ladder height are studied. The results are applied to estimation of ruin probability in the stationary perturbed risk model in a Markovian environment.
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perturbed risk model
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Lévy processes
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ladder heights
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marked point processes
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Markov modulated risk model
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