Rate Modulation in Dams and Ruin Problems
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 g...
Veröffentlicht in: | Journal of Applied Probability. - Applied Probability Trust. - 33(1996), 2, Seite 523-535 |
---|---|
1. Verfasser: | |
Weitere Verfasser: | |
Format: | Online-Aufsatz |
Sprache: | English |
Veröffentlicht: |
1996
|
Zugriff auf das übergeordnete Werk: | Journal of Applied Probability |
Schlagworte: | Dam Storage Model Subordinator Lévy Process Ruin Probability Risk Theory Stability Stochastic Interest |