Abstract and Applied Analysis

Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps

Hua Dong and Xianghua Zhao

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This paper considers a perturbed Markov-modulated risk model with two-sided jumps, where both the upward and downward jumps follow arbitrary distribution. We first derive a system of differential equations for the Gerber-Shiu function. Furthermore, a numerical result is given based on Chebyshev polynomial approximation. Finally, an example is provided to illustrate the method.

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Abstr. Appl. Anal., Volume 2012, Special Issue (2012), Article ID 401562, 9 pages.

First available in Project Euclid: 5 April 2013

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Dong, Hua; Zhao, Xianghua. Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps. Abstr. Appl. Anal. 2012, Special Issue (2012), Article ID 401562, 9 pages. doi:10.1155/2012/401562. https://projecteuclid.org/euclid.aaa/1365168877

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