Rate modulation in dams and ruin problems-Reference-Cited by-同舟云学术

Rate modulation in dams and ruin problems

Published:1996-09 Issue:2 Volume:33 Page:523-535
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Asmussen Søren,Kella Offer

Abstract

We consider a dam in which the release rate depends both on the state and some modulating process. Conditions for the existence of a limiting distribution are established in terms of an associated risk process. The case where the release rate is a product of the state and the modulating process is given special attention, and in particular explicit formulas are obtained for a finite state space Markov modulation.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference14 articles.

1. Ruin problems with compounding assets

2. The Equivalence of Absorbing and Reflecting Barrier Problems for Stochastically Monotone Markov Processes

3. Ruin probabilities expressed in terms of storage processes

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