A quintuple law for Markov additive processes with phase-type jumps

DOI10.1239/jap/1276784902zbMath1205.60095MaRDI QIDQ3578675

Lothar Breuer

Publication date: 20 July 2010

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

Full work available at URL: https://doi.org/10.1239/jap/1276784902

zbMATH Keywords

ruin; Gerber-Shiu function; undershoot; Markov additive process; surplus

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60J25: Continuous-time Markov processes on general state spaces

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