Abstract and Applied Analysis

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

Hua Dong and Xianghua Zhao

Full-text: Open access

Abstract

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.

Article information

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

Dates
First available in Project Euclid: 5 April 2013

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1365168877

Digital Object Identifier
doi:10.1155/2012/401562

Mathematical Reviews number (MathSciNet)
MR3004923

Zentralblatt MATH identifier
1264.91137

Citation

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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