The Tax Identity For Markov Additive Risk Processes

Albrecher, Hansjoerg, Avram, Florin, Constantinescu, Corina and Ivanovs, Jevgenijs
(2014) The Tax Identity For Markov Additive Risk Processes. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 16 (1). 245 - 258.

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Latent Risks in Mixed Compound Poisson Ruin Models.pdf - Accepted Version

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Item Type: Article
Uncontrolled Keywords: First-passage time, Taxed Sparre Andersen risk process, Spectrally-negative Markov additive processes
Depositing User: Symplectic Admin
Date Deposited: 07 Dec 2018 14:28
Last Modified: 29 Mar 2019 08:20
DOI: 10.1007/s11009-012-9310-y
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