Abstract
We consider a risk model described by an ergodic stationary marked point process. The model is perturbed by a Lévy process with no downward jumps. The (modified) ladder height is defined as the first epoch where an event of the marked point process leads to a new maximum. Properties of the process until the first ladder height are studied and results of Dufresne and Gerber [Insurance: Math. Econ. 10 (1991) 51], Furrer [Scand. Actuarial J. (1998) 59], Asmussen and Schmidt [Stochastic Process. Appl. 58 (1995) 105] and Asmussen et al. [ASTIN Bull. 25 (1995) 49] are generalized.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
