Ladder height distributions with marks

DOI10.1016/0304-4149(95)00005-RzbMATH Open0829.60093OpenAlexW2062076118MaRDI QIDQ1899258FDOQ1899258

Authors: Søren Asmussen, Volker Schmidt 

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

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zbMATH Keywords

stationaritymarked point processlocal timePalm distributionCampbell's formulafluid modelsladder heightsstochastic 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)

Cites Work

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• 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
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• On cycle maxima, first passage problems and extreme value theory for queues
• On ladder height distributions of general risk processes
• Rate conservation laws: A survey
• Palm calculus for a process with a stationary random measure and its applications to fluid queues
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• An insensitivity property of ladder height distributions
• An insensitivity property of the ruin probability

Cited In (6)

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

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