Lévy systems and the time value of ruin for Markov additive processes
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Publication:1936473
DOI10.1007/s13385-012-0053-5zbMath1271.60060MaRDI QIDQ1936473
Manuel Morales, Zied Ben Salah
Publication date: 5 February 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-012-0053-5
first passage time; Gerber-Shiu function; ruin problem; scale matrices; Lévy systems; Markov modulated spectrally positive Lévy process
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