A Markov Additive Risk Process with a Dividend Barrier
We study a risk process with dividend barrier b where the claims arrive according to a Markovian additive process (MAP). For spectrally negative MAPs, we present linear equations for the expected discounted dividends and the expected discounted penalty function. We apply results for the first exit t...
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| Veröffentlicht in: | Advances in applied probability 2013-06, Vol.45 (2), p.451-489 |
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| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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