The Recurrence Classification of Risk and Storage Processes

DOI10.1287/MOOR.3.1.57MaRDI QIDQ4181564zbMATH OpenOpenAlexFDO

Authors 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

Compound Poisson InputMarkov Storage ProcessRecurrence ClassificationRiskStorage Processes

Mathematics Subject Classification ID

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

Cited in

(12)

• 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
• Shot-noise queueing models
• A state dependent reinsurance model
• 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
• Recurrence classification for a family of non-linear storage models
• Monotone Stochastic Recursions and their Duals
• On decay–surge population models

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