Abstract
We consider a Markov additive process (MAP) with phase-type jumps, starting at 0. Given a positive level u, we determine the joint distribution of the undershoot and overshoot of the first jump over the level u, the maximal level before this jump, the time of attaining this maximum, and the time between the maximum and the jump. The analysis is based on first passage times and time reversion of MAPs. A marginal of the derived distribution is the Gerber-Shiu function, which is of interest to insurance risk. Several examples serve to compare the present result with the literature.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
22 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献