Lévy systems and the time value of ruin for Markov additive processes

DOI10.1007/s13385-012-0053-5zbMath1271.60060OpenAlexW2010128671MaRDI 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

zbMATH Keywords

first passage timeGerber-Shiu functionruin problemscale matricesLévy systemsMarkov modulated spectrally positive Lévy process

Mathematics Subject Classification ID

Related Items (4)

Ruin probabilities for risk process in a regime-switching environment ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Potential measures of one-sided Markov additive processes with reflecting and terminating barriers

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