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- W4285428756 abstract "In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downward) skip-free discrete-time and discrete-space Markov Additive Process (MAP), we derive closed form expressions for the Gerber-Shiu function in terms of the so-called (discrete) $boldsymbol{W}_v$ and $boldsymbol{Z}_v$ scale matrices, which were introduced in arXiv:2008.06697. We show that the discrete scale matrices allow for a unified approach for identifying the Gerber-Shiu function as well as the value function of the associated constant dividend barrier problems." @default.
- W4285428756 created "2022-07-15" @default.
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- W4285428756 date "2022-07-12" @default.
- W4285428756 modified "2023-10-01" @default.
- W4285428756 title "Gerber-Shiu Theory for Discrete Risk Processes in a Regime Switching Environment" @default.
- W4285428756 doi "https://doi.org/10.48550/arxiv.2207.05339" @default.
- W4285428756 hasPublicationYear "2022" @default.
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