Markov-dependent risk model with multi-layer dividend strategy

DOI10.1016/j.amc.2014.12.016zbMath1338.91082OpenAlexW2021160395MaRDI QIDQ298721

Zhongbao Zhou, Helu Xiao, Yingchun Deng

Publication date: 21 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.016

zbMATH Keywords

integro-differential equationGerber-Shiu functionChebyshev polynomial approximation approachMarkov-dependent risk modelmulti-layer dividend strategy

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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