The tax identity for Markov additive risk processes

DOI10.1007/s11009-012-9310-yzbMath1286.91062MaRDI QIDQ2445485

Florin Avram, Jevgenijs Ivanovs, Hansjoerg Albrecher, Corina Constantinescu

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_160358A3F7AB.P001/REF.pdf

zbMATH Keywords

first-passage time; spectrally-negative Markov additive processes; taxed Sparre Andersen risk process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K37: Processes in random environments

Cites Work

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