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

Registro MARC
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20100048764‎$a‎Feng, Runhuan
24510‎$a‎Potential measures for spectrally negative Markov additive processes with applications in ruin theory‎$c‎Runhuan Feng, Yasutaka Shimizu
520  ‎$a‎The Markov additive process (MAP) has become an increasingly popular modeling tool in the applied probability literature. In many applications, quantities of interest are represented as functionals of MAPs and potential measures, also known as resolvent measures, have played a key role in the representations of explicit solutions to these functionals. In this paper, closed-form solutions to potential measures for spectrally negative MAPs are found using a novel approach based on algebraic operations of matrix operators. This approach also provides a connection between results from fluctuation theoretic techniques and those from classical differential equation techniques. In the end, the paper presents a number of applications to ruin-related quantities as well as verification of known results concerning exit problems.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎03/11/2014 Volumen 59 Número 1 - noviembre 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A