Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
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 poly...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2012-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/401562 |