Gerber-Shiu theory for discrete risk processes in a regime switching environment

DOI10.1016/J.AMC.2023.128491arXiv2207.05339OpenAlexW4389551830MaRDI QIDQ6130164FDOQ6130164

Zbigniew Palmowski, Lewis Ramsden, Apostolos D. Papaioannou

Publication date: 18 April 2024

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downward) skip-free discrete-time and discrete-space Markov Additive Process (MAP), we derive closed form expressions for the Gerber-Shiu function in terms of the so-called (discrete) $$ and $$ scale matrices, which were introduced in arXiv:2008.06697. We show that the discrete scale matrices allow for a unified approach for identifying the Gerber-Shiu function as well as the value function of the associated constant dividend barrier problems.

Full work available at URL: https://arxiv.org/abs/2207.05339

zbMATH Keywords

discrete-timedividendsMarkov additive processMarkov-modulationexit problemsscale matricesGerber-Shiudual risk process

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Stochastic processes (60Gxx) Special processes (60Kxx)

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