Potential measures for spectrally negative Markov additive processes with applications in ruin theory

DOI10.1016/j.insmatheco.2014.08.001zbMath1339.60108OpenAlexW2042028960MaRDI QIDQ2514602

Runhuan Feng, Yasutaka Shimizu

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.001

zbMATH Keywords

ruin theoryMarkov renewal equationMarkov additive processesexit problemsscale matrixpotential measuresresolvent density

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45) Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ Subexponential potential asymptotics with applications ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Some ruin problems for the MAP risk model ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Entrance laws at the origin of self-similar Markov processes in high dimensions ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Potential measures of one-sided Markov additive processes with reflecting and terminating barriers

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Markov additive risk process under an Erlangized dividend barrier strategy
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On the total operating costs up to default in a renewal risk model
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• Smoothness of scale functions for spectrally negative Lévy processes
• Solving and factoring boundary problems for linear ordinary differential equations in differential algebras
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• On a generalization from ruin to default in a Lévy insurance risk model
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• Exit Problems for Reflected Markov-Modulated Brownian Motion
• General tax Structures and the Lévy Insurance Risk Model
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• On a quadratic matrix equation associated with an M-matrix
• Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums
• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
• On the expectation of total discounted operating costs up to default and its applications
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Markov renewal theory
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model

This page was built for publication: Potential measures for spectrally negative Markov additive processes with applications in ruin theory