In this paper, we are concerned with centered Markov Additive Processes {(Xt,Yt)}t∈T where the driving Markov process {Xt}t∈T has a finite state space. Under suitable conditions, we provide a local limit theorem for the density of the absolutely continuous part of the probability...

In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...