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

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