scientific article; zbMATH DE number 4143195

MaRDI QIDQ3473919zbMATH OpenFDO

Authors Søren Asmussen

Publication date 1989

zbMATH Keywords

Borel-Tanner distributioninverse Gaussian distributionslifetimeMarkov additive processesone-parameter exponential familyphase-type distributions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

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• Markov processes and exponential families
• Integer valued Markov processes and exponential families
• On doubly reflected completely asymmetric Lévy processes.
• Russian and American put options under exponential phase-type Lévy models.
• A Markov additive risk process with a dividend barrier
• On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
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• Upper bounds on the expected time to ruin and on the expected recovery time
• The mathematical mechanism of biological aging
• Exact boundaries in sequential testing for phase-type distributions
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• A Markov jump process associated with the matrix-exponential distribution
• A series expansion formula of the scale matrix with applications in CUSUM analysis

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