Rate modulation in dams and ruin problems

Søren Asmussen*, Offer Kella

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

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.

Original languageAmerican English
Pages (from-to)523-535
Number of pages13
JournalJournal of Applied Probability
Volume33
Issue number2
DOIs
StatePublished - Jun 1996

Keywords

  • Dam
  • Lévy process
  • Risk theory
  • Ruin probability
  • Stability
  • Stochastic interest
  • Storage model
  • Subordinator

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