The tax identity for Markov additive risk processes (Q2445485)

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The tax identity for Markov additive risk processes
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    The tax identity for Markov additive risk processes (English)
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    14 April 2014
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    This paper extends the tax identities of \textit{H. Albrecher} and \textit{C. Hipp} [Bl. DGVFM 28, No. 1, 13--28 (2007; Zbl 1119.62103)] to risk models driven by spectrally-negative Markov additive processes (MAP) and gives reasons for a wide generalization of related theory. After in-depth analysis concerning the tax identity for the Cramér-Lundberg process, the study focuses on the Sparre Andersen model with phase-type interarrival times. Then a presentation of basic notations and results concerning MAP is provided, together with several examples of risk processes that can be viewed as MAPs. In particular the taxed MAP-driven risk process is considered and investigated. The special case of a spectrally-negative MAP concludes the analysis, and some numerical examples are presented.
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    first-passage time
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    taxed Sparre Andersen risk process
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    spectrally-negative Markov additive processes
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