The tax identity for Markov additive risk processes

DOI10.1007/S11009-012-9310-YMaRDI QIDQ2445485zbMATH OpenOpenAlexFDO

Authors F. Avram, Corina Constantinescu, Jevgenijs Ivanovs, Hansjörg Albrecher

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 timespectrally-negative Markov additive processestaxed Sparre Andersen risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Processes in random environments (60K37)

Review text

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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Cited in

(11)

• The tax identity in risk theory - a simple proof and an extension
• The equivalence of two tax processes
• On taxed spectrally negative Lévy processes with draw-down stopping
• Fluctuations of spectrally negative Markov additive processes
• Lévy insurance risk process with Poissonian taxation
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