The Tax Identity For Markov Additive Risk Processes
نویسندگان
چکیده
منابع مشابه
Linear Additive Markov Processes
We introduce LAMP: the Linear Additive Markov Process. Transitions in LAMP may be influenced by states visited in the distant history of the process, but unlike higher-order Markov processes, LAMP retains an efficient parameterization. LAMP also allows the specific dependence on history to be learned efficiently from data. We characterize some theoretical properties of LAMP, including its stead...
متن کاملOn Markov-Additive Jump Processes
In 1995, Pacheco and Prabhu introduced the class of so–called Markov–additive processes of arrivals in order to provide a general class of arrival processes for queueing theory. In this paper, the above class is generalized considerably, including time–inhomogeneous arrival rates, general phase spaces and the arrival space being a general vector space (instead of the finite–dimensional Euclidea...
متن کاملThe time to ruin for a class of Markov additive risk processes
Risk processes are considered, which locally behave as a Brownian motion with some drift and variance, both depending on an underlying Markov chain that is used also to generate the claims arrival process. Thus claims arrive according to a renewal process with waiting times of phase-type. The claims are assumed to form an iid sequence, independent of everything else, and with a distribution wit...
متن کاملFluctuations of spectrally negative Markov additive processes
This paper presents some fluctuation identities for a special, but none the less quite general, class of Markov Additive Processes (MAP). Before entering our discussion on the subject we shall simply begin by defining the class of processes we intend to work with and its properties. Following Asmussen and Kella (2000) we consider a process X(t), where X(t) = X(t) +X(t), and the independent proc...
متن کاملON THE INFINITE ORDER MARKOV PROCESSES
The notion of infinite order Markov process is introduced and the Markov property of the flow of information is established.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2012
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-012-9310-y