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

Hua Dong and Xianghua Zhao

Abstract and Applied Analysis, 2012, vol. 2012, issue 1

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.

Date: 2012
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https://doi.org/10.1155/2012/401562

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2012:y:2012:i:1:n:401562

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