%0 Journal Article
%T Phase-type fitting of scale functions for spectrally negative Levy processes
%A Masahiko Egami
%A Kazutoshi Yamazaki
%J Mathematics
%D 2010
%I arXiv
%X 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.
%U http://arxiv.org/abs/1005.0064v8