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

DOI10.1239/jap/1276784902zbMath1205.60095OpenAlexW2049809712MaRDI 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

ruinGerber-Shiu functionundershootMarkov additive processsurplus

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25)

Related Items (20)

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