THE RUIN PROBABILITY FOR THE STORAGE PROCESS WITH LARGE SCALE DEMANDS

抄録

In this paper we consider the ruin probability for a storage process. This process has two phases, the inflow phase and the outflow one, and the switchover of which is controlled by a certain storage level. In these phases the storage increases or decreases at each rate dependent on the present level. Furthermore the large scale demand for the system may happen in both phases according to Poisson process. The limiting probability distribution for the storage level and the ruin probability are given by the solution of a system of renewal equations.