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 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1996
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| Zugriff auf das übergeordnete Werk: | Journal of Applied Probability |
| Schlagworte: | Dam Storage Model Subordinator Lévy Process Ruin Probability Risk Theory Stability Stochastic Interest |
| Zusammenfassung: | 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. |
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| ISSN: | 14756072 |
| DOI: | 10.2307/3215076 |