We consider necessary and sufficient conditions for risk aversion to one risk in the presence of another non-insurable risk. The conditions (on the bivariate utility function) vary according to the conditions imposed on the joint distribution of the risks. If only independent risks are...

Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of...

In this paper we consider the two-sided reflection of a Markov modulated Brownian motion by analyzing the spectral properties of the matrix polynomial associated with the generator of the free process. We show how to compute for the general case the Laplace transform of the stationary...