A Markov Additive Risk Process with a Dividend Barrier
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Publication:2837755
DOI10.1239/aap/1370870126zbMath1301.60063MaRDI QIDQ2837755
Publication date: 11 July 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1370870126
phase-type distribution; exit time; Markov arrival process; reflected process; spectrally negative Lévy process
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60J27: Continuous-time Markov processes on discrete state spaces
60G46: Martingales and classical analysis
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