'The tax identity for Markov additive risk processes'



Albrecher, H, Avram, F, Constantinescu, C ORCID: 0000-0002-5219-3022 and Ivanovs, J
(2014) 'The tax identity for Markov additive risk processes'. Methodology and Computing in Applied Probability, 16 (1). pp. 245-258.

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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. © 2012 Springer Science+Business Media New York.

Item Type: Article
Additional Information: ## TULIP Type: Articles/Papers (Journal) ##
Uncontrolled Keywords: first-passage time, Taxed Sparre Andersen risk process, spectrally-negative Markov processes
Depositing User: Symplectic Admin
Date Deposited: 07 Dec 2018 14:28
Last Modified: 19 Jan 2023 01:09
DOI: 10.1007/s11009-012-9310-y
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3029708