The tax identity for Markov additive risk processes

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Serval ID
serval:BIB_160358A3F7AB
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
The tax identity for Markov additive risk processes
Journal
Methodology and Computing in Applied Probability
Author(s)
Albrecher H., Avram F., Constantinescu C., Ivanovs J.
ISSN
1387-5841 (Print)
1573-7713 (Online)
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
16
Number
1
Pages
245-258
Language
english
Abstract
Taxed risk processes, i.e. processes which change their drift when reaching new maxima, represent a certain type of generalizations of Lévy and of Markov additive processes (MAP), since the times at which their Markovian mechanism changes are allowed to depend on the current position. In this paper we study generalizations of the tax identity of Albrecher and Hipp (2007) from the classical risk model to more general risk processes driven by spectrally-negative MAPs. We use the Sparre Andersen risk processes with phase-type interarrivals to illustrate the ideas in their simplest form.
Keywords
First-passage time, Taxed Sparre Andersen risk process, Spectrally-negative Markov additive processes
Web of science
Open Access
Yes
Create date
11/10/2012 8:36
Last modification date
20/08/2019 12:45
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