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math.PR2013
A risk model with an observer in a Markov environment
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that…
q-fin.PR2013
Power identities for Lévy risk models under taxation and capital injections
Hansjoerg Albrecher, Jevgenijs Ivanovs
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can…