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

Abstract EN

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.