Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem

DOI10.1017/apr.2020.2zbMath1475.60078arXiv1806.08102OpenAlexW3043302160MaRDI QIDQ5005018

Irmina Czarna, Adam Kaszubowski, Shu Li, Zbigniew Palmowski

Publication date: 4 August 2021

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

Full work available at URL: https://arxiv.org/abs/1806.08102

zbMATH Keywords

fluctuation theoryMarkov modulationdividendsomega modelpotential measures

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Actuarial mathematics (91G05)

Related Items (1)

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time

Uses Software

• SpectrallyNegativeMarkovAdditiveProcess

Cites Work

• Unnamed Item
• Unnamed Item
• Gerber-Shiu risk theory
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• The optimal dividend barrier in the gamma-omega model
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• First passage of time-reversible spectrally negative Markov additive processes
• Fluctuations of Omega-killed spectrally negative Lévy processes
• The Omega model: from bankruptcy to occupation times in the red
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Markov-Modulated Brownian Motion with Two Reflecting Barriers
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Exit Problems for Reflected Markov-Modulated Brownian Motion
• Applied Probability and Queues
• Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process
• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

This page was built for publication: Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem