Potential measures for spectrally negative Markov additive processes with applications in ruin theory

Runhuan Feng*, Yasutaka Shimizu

*この研究の対応する著者

研究成果: Article査読

13 被引用数 (Scopus)

抄録

The Markov additive process (MAP) has become an increasingly popular modeling tool in the applied probability literature. In many applications, quantities of interest are represented as functionals of MAPs and potential measures, also known as resolvent measures, have played a key role in the representations of explicit solutions to these functionals. In this paper, closed-form solutions to potential measures for spectrally negative MAPs are found using a novel approach based on algebraic operations of matrix operators. This approach also provides a connection between results from fluctuation theoretic techniques and those from classical differential equation techniques. In the end, the paper presents a number of applications to ruin-related quantities as well as verification of known results concerning exit problems.

本文言語English
ページ(範囲)11-26
ページ数16
ジャーナルInsurance: Mathematics and Economics
59
DOI
出版ステータスPublished - 2014 12月 1

ASJC Scopus subject areas

  • 統計学および確率
  • 経済学、計量経済学
  • 統計学、確率および不確実性

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