A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process

DOI10.1016/j.insmatheco.2011.03.001zbMath1218.91075OpenAlexW2032948584MaRDI QIDQ2276269

Peter Diko, Miguel A. Usábel

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.03.001

zbMATH Keywords

Markov-modulated processjump-diffusion processexpected penalty-reward functionVolterra integro-differential system of equations

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Markov-dependent risk model with multi-layer dividend strategy, Survival probabilities in a discrete semi-Markov risk model, Asymptotic results for a Markov-modulated risk process with stochastic investment, Numerical method for a Markov-modulated risk model with two-sided jumps, The Gerber-Shiu discounted penalty function: a review from practical perspectives, The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions, A markov-modulated risk model with transaction costs and threshold dividend strategy, On a discrete Markov-modulated risk model with random premium income and delayed claims, A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy, Expected discounted dividends in a discrete semi-Markov risk model

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