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Article Dans Une Revue Advances in Applied Probability Année : 2019

First passage problems for upwards skip-free random walks via the scale functions paradigm

Résumé

We develop the theory of the W and Z scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogous theory for spectrally negative Lévy processes. Notably, we introduce for the first time in this context the one and two-parameter scale functions Z, which appear for example in the joint problem of deficit at ruin and time of ruin, and in problems concerning the walk reflected at an upper barrier. Comparisons are made between the various theories of scale functions as one makes time and/or space continuous. The theory is shown to be fruitful by providing a convenient unified framework for studying dividends-capital injection problems under various objectives, for the so-called compound binomial risk model of actuarial science.
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Dates et versions

hal-02369201 , version 1 (18-11-2019)

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Florin Avram, Matija Vidmar. First passage problems for upwards skip-free random walks via the scale functions paradigm. Advances in Applied Probability, 2019, 51 (2), pp.408-424. ⟨10.1017/apr.2019.17⟩. ⟨hal-02369201⟩
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