Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
نویسندگان
چکیده
and Applied Analysis 3 when ω 1 and δ 0, 1.4 reduces to the probability of ruin ψi u P T < ∞ | J 0 i,U 0 u , u ≥ 0. 1.6 The purpose of this paper is to present some numerical results on the GerberShiu function for the Markov-modulated diffusion risk model with arbitrary upward and downward jumps. In Section 2 we derive a system of integrodifferential equations and approximate solutions for φi u . Numerical example is given in the last section. 2. Integrodifferential Equations and Approximate Solution Theorem 2.1. For u ≥ 0, φi u i 1, 2, . . . , n satisfies the following integrodifferential equation σ2 i 2 φ′′ i u ciφ ′ i u − λi δ φi u n ∑
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