Google Scholar has requested me to make available a freely available copy of this published comment my former PhD supervisor and I wrote a few years ago:
- Keeler and Taylor, Some remarks regarding “On the Laplace Transform of the Aggregate Discounted Claims with Markovian arrivals”
OK, Google Scholar, here’s the manuscript that we submitted, which is basically the same as the published version.
The comment and the original paper cover an insurance model (for aggregate claims) that uses a Markov arrival process. Such stochastic processes use matrix theory. But there was a small error in the original paper, where commutativity had been assumed, which is clearly not the case in general for matrices. Despite this error, the incorrect solution gave surprisingly accurate answers, so we investigated why that was.
Nothing groundbreaking here by us. We were just curious.
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