The Tax Identity For Markov Additive Risk Processes

Hansjörg Albrecher, Florin Avram, Corina Constantinescu () and Jevgenijs Ivanovs
Additional contact information
Hansjörg Albrecher: University of Lausanne
Florin Avram: Université de Pau
Corina Constantinescu: University of Lausanne
Jevgenijs Ivanovs: University of Lausanne

Methodology and Computing in Applied Probability, 2014, vol. 16, issue 1, 245-258

Abstract: 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; Primary 91B30; Secondary 60G51, 60J75, 60K37 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-012-9310-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:16:y:2014:i:1:d:10.1007_s11009-012-9310-y

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-012-9310-y

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().