Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps | Zendy

Hua Dong | Zendy; Xiang-Hua Zhao | Zendy

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Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps

Author(s) -

Hua Dong,

Xiang-Hua Zhao

Publication year - 2012

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2012/401562

Subject(s) - mathematics , chebyshev polynomials , markov chain , chebyshev filter , function (biology) , distribution (mathematics) , risk model , polynomial , numerical analysis , differential equation , markov process , mathematical analysis , statistics , evolutionary biology , biology

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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