Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
Keyword(s):
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.
2012 ◽
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pp. 1043-1065
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pp. 610-621
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2020 ◽
Vol 6
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2007 ◽
2006 ◽
Vol 97
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pp. 51-57
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pp. 316-324
2000 ◽
Vol 113
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pp. 2894-2900
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