The Recurrence Classification of Risk and Storage Processes

DOI10.1287/moor.3.1.57zbMath0397.90033OpenAlexW2049625193MaRDI 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

zbMATH Keywords

RiskCompound Poisson InputMarkov Storage ProcessRecurrence ClassificationStorage Processes

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Markov and semi-Markov decision processes (90C40) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Dam processes with state dependent batch sizes and intermittent production processes with state dependent rates ⋮ A state dependent reinsurance model ⋮ Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve ⋮ On decay–surge population models ⋮ A large deviation principle for the risk process with varying premium ⋮ Unnamed Item ⋮ Monotone Stochastic Recursions and their Duals ⋮ Shot-noise queueing models ⋮ Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities ⋮ Recurrence-transience criteria for storage processes ⋮ Calculation of finite time ruin probabilities for some risk models ⋮ A large deviation estimate for ruin probabilities

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