A Markov Additive Risk Process with a Dividend Barrier

DOI10.1239/aap/1370870126zbMath1301.60063MaRDI QIDQ2837755

Esther Frostig

Publication date: 11 July 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1370870126

zbMATH Keywords

phase-type distribution; exit time; Markov arrival process; reflected process; spectrally negative Lévy process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J27: Continuous-time Markov processes on discrete state spaces

60G46: Martingales and classical analysis

Cites Work

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