Potential Measures for Spectrally Negative Markov Additive Processes with Applications in Ruin Theory

@inproceedings{Feng2014PotentialMF,
  title={Potential Measures for Spectrally Negative Markov Additive Processes with Applications in Ruin Theory},
  author={Runhuan Feng and Yasutaka Shimizu},
  year={2014}
}
The 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… CONTINUE READING

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