Numerical method for a Markov-modulated risk model with two-sided jumps

DOI10.1155/2012/401562MaRDI QIDQ1938188zbMATH OpenOpenAlexWikidataFDO

Authors Hua Dong, Xianghua Zhao

Publication date 4 February 2013

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/401562

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Review text

Summary: 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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Cites work

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Cited in

(7)

• Moment equations in modeling a stable foreign currency exchange market in conditions of uncertainty
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Markov-dependent risk model with multi-layer dividend strategy
• scientific article; zbMATH DE number 7346269 (Why is no real title available?)
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions

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