The Tax Identity For Markov Additive Risk Processes

被引：8

作者：

Albrecher, Hansjoerg ^{[1
,2
]}

Avram, Florin ^{[3
]}

Constantinescu, Corina ^{[1
,4
]}

Ivanovs, Jevgenijs ^{[1
]}

机构：

[1] Univ Lausanne, Fac Business & Econ, Dept Actuarial Sci, Quartier UNIL Dorigny, CH-1015 Lausanne, Switzerland

[2] Swiss Finance Inst, Lausanne, Switzerland

[3] Univ Pau, Dept Math, Pau, France

[4] Univ Liverpool, Inst Financial & Actuarial Math, Dept Math Sci, Liverpool L69 7ZL, Merseyside, England

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2014年 / 16卷 / 01期

基金：

瑞士国家科学基金会;

关键词：

First-passage time; Taxed Sparre Andersen risk process; Spectrally-negative Markov additive processes;

D O I：

10.1007/s11009-012-9310-y

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Taxed risk processes, i.e. processes which change their drift when reaching new maxima, represent a certain type of generalizations of L,vy and of Markov additive processes (MAP), since the times at which their Markovian mechanism changes are allowed to depend on the current position. In this paper we study generalizations of the tax identity of Albrecher and Hipp (2007) from the classical risk model to more general risk processes driven by spectrally-negative MAPs. We use the Sparre Andersen risk processes with phase-type interarrivals to illustrate the ideas in their simplest form.

引用

页码：245 / 258

页数：14

共 50 条

[1] The Tax Identity For Markov Additive Risk Processes
Hansjörg Albrecher
Florin Avram
Corina Constantinescu
Jevgenijs Ivanovs
Methodology and Computing in Applied Probability, 2014, 16 : 245 - 258
[2] Parisian ruin probability for Markov additive risk processes
Zhao, Xianghua
Dong, Hua
ADVANCES IN DIFFERENCE EQUATIONS, 2018,
[3] Parisian ruin probability for Markov additive risk processes
Xianghua Zhao
Hua Dong
Advances in Difference Equations, 2018
[4] MARKOV ADDITIVE PROCESSES
CINLAR, E
ANNALS OF MATHEMATICAL STATISTICS, 1970, 41 (03): : 1145 - &
[5] TOPICS IN MARKOV ADDITIVE PROCESSES
ARJAS, E
SPEED, TP
MATHEMATICA SCANDINAVICA, 1973, 33 (01) : 171 - 192
[6] Linear Additive Markov Processes
Kumar, Ravi
Raghu, Maithra
Sarlos, Tamas
Tomkins, Andrew
PROCEEDINGS OF THE 26TH INTERNATIONAL CONFERENCE ON WORLD WIDE WEB (WWW'17), 2017, : 411 - 419
[7] EXCURSIONS OF MARKOV-PROCESSES - AN APPROACH VIA MARKOV ADDITIVE PROCESSES
KASPI, H
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1983, 64 (02): : 251 - 268
[8] LEVY SYSTEMS OF MARKOV ADDITIVE PROCESSES
CINLAR, E
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1975, 31 (03): : 175 - 185
[9] Markov additive processes and repeats in sequences
Spouge, John L.
JOURNAL OF APPLIED PROBABILITY, 2007, 44 (02) : 514 - 527
[10] STABILITY OF OVERSHOOTS OF MARKOV ADDITIVE PROCESSES
Doeringa, Leif
Trottnerb, Lukas
ANNALS OF APPLIED PROBABILITY, 2023, 33 (6B): : 5413 - 5458

← 1 2 3 4 5 →