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)

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Cites work

• A Chebyshev polynomial approach for linear Fredholm-Volterra integro-differential equations in the most general form
• A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
• A method for numerical integration on an automatic computer
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• First passage times of a jump diffusion process
• Numerical solution of nonlinear Volterra-Fredholm integro-differential equations using homotopy analysis method
• On differentiability of ruin functions under Markov-modulated models
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
• Risk theory in a Markovian environment
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The perturbed compound Poisson risk model with two-sided jumps
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited in

(7)

• 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
• Markov-dependent risk model with multi-layer dividend strategy
• Moment equations in modeling a stable foreign currency exchange market in conditions of uncertainty
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• The Gerber-Shiu discounted penalty function: a review from practical perspectives

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