Occupation times in the MAP risk model

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<title>Occupation times in the MAP risk model</title>
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<namePart>Landriaulta, David</namePart>
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<abstract displayLabel="Summary">Occupation times have so far been primarily analyzed in the class of Lévy processes, most notably some of its special cases, by capitalizing on the stationary and independence property of the process increments. In this paper, we relax this assumption and provide a closed-form expression for the Laplace transform of occupation times for surplus processes governed by a Markovian claim arrival process. This will naturally allow us to revisit some occupation time results for the compound Poisson risk model. We also identify the density of the total duration of negative surplus and its individual contributions when the number of claims occurring with negative surplus levels is jointly studied. Finally, a numerical example in an Erlang-2 renewal risk process is also considered</abstract>
<note type="statement of responsibility">David Landriaulta, Tianxiang Shi</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
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<text>12/01/2015 Volumen 60 Número  - enero 2015 </text>
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