A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy

Xu Chen, Ting Xiao and Xiang-qun Yang

Insurance: Mathematics and Economics, 2014, vol. 54, issue C, 76-83

Abstract: This paper considers a Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend. A second order integro-differential system of equations that characterizes the expected discounted dividend payments is obtained. As a closed-form solution does not exist, a numerical procedure based on the sinc function approximation through a collocation method is proposed. Finally, an example illustrating the procedure is presented.

Keywords: Discounted dividend payments; Markov-modulated; Integro-differential equation system; Threshold dividend strategy; Randomized observation periods; Numerical sinc method (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:54:y:2014:i:c:p:76-83

DOI: 10.1016/j.insmatheco.2013.11.004

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