A Markov Additive Risk Process with a Dividend Barrier

DOI10.1239/aap/1370870126zbMath1301.60063OpenAlexW2007307002MaRDI 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 distributionexit timeMarkov arrival processreflected processspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27) Martingales and classical analysis (60G46)

Cites Work

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• Perturbed MAP Risk Models with Dividend Barrier Strategies

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