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arXiv · 1005.0064

Phase-type fitting of scale functions for spectrally negative Levy processes

Masahiko Egami·Kazutoshi Yamazaki
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Abstract

We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities. Motivated by the fact that the class of phase-type distributions is dense in the class of all positive-valued distributions, we propose a new approach to approximating the scale function and the associated fluctuation identities for a general spectrally negative Levy process. Numerical examples are provided to illustrate the effectiveness of the approximation method.

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Masahiko Egami, Kazutoshi Yamazaki. 2014-01-03. Phase-type fitting of scale functions for spectrally negative Levy processes. https://arxiv.org/abs/1005.0064

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