Actuarial - Kazutoshi Yamazaki (University of Queensland)

Actuarial Seminar Series

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Benjamin Avanzi

T: +61383448667

Title: Series expansion formula for scale matrices and applications in ruin theory

Abstract: We derive a new series expansion formula for the scale matrix for Markov additive processes with a constant drift and general finite-activity one-sided jumps. This generalizes the series expansion formula of the scale function obtained in Landriault & Willmot (Scand. Actuar. J., 2020) for the Cramer-Lundberg process. Its applications in ruin theory, optimal dividends, and sequential testing are discussed. Joint work with J. Ivanovs (Aarhus University).