Abstract
We study the scale function of the spectrally negative phase-type Lévy 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 Lévy process. Numerical examples are provided to illustrate the effectiveness of the approximation method.
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