Tail behavior of stopped L\'evy processes with Markov modulation

Brendan Beare, Won-Ki Seo (won-ki.seo@sydney.edu.au) and Alexis Akira Toda

Papers from arXiv.org

Abstract: This article concerns the tail probabilities of a light-tailed Markov-modulated L\'evy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially at rates given by the unique positive and negative roots of the spectral abscissa of a certain matrix-valued function. We illustrate the use of our results with an application to the stationary distribution of wealth in a simple economic model in which agents with constant absolute risk aversion are subject to random mortality and income fluctuation.

Date: 2020-09
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2009.08010 Latest version (application/pdf)

Related works:
Journal Article: TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION (2022)
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:arx:papers:2009.08010

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).