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June 2013 A Markov additive risk process with a dividend barrier
Esther Frostig
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Adv. in Appl. Probab. 45(2): 451-489 (June 2013). DOI: 10.1239/aap/1370870126

Abstract

We study a risk process with dividend barrier b where the claims arrive according to a Markovian additive process (MAP). For spectrally negative MAPs, we present linear equations for the expected discounted dividends and the expected discounted penalty function. We apply results for the first exit times of spectrally negative Lévy processes and change-of-measure techniques. Explicit expressions are given when there are positive and negative claims, with phase-type distribution.

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Esther Frostig. "A Markov additive risk process with a dividend barrier." Adv. in Appl. Probab. 45 (2) 451 - 489, June 2013. https://doi.org/10.1239/aap/1370870126

Information

Published: June 2013
First available in Project Euclid: 10 June 2013

zbMATH: 1301.60063
MathSciNet: MR3102459
Digital Object Identifier: 10.1239/aap/1370870126

Subjects:
Primary: 60G51, 60J27, 60J75, 62P05
Secondary: 60G46, 60J55

Rights: Copyright © 2013 Applied Probability Trust

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Vol.45 • No. 2 • June 2013
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