Numerical Method for the Perturbed Risk Model with Randomized Observation and Two-sided Jumps
Asian Research Journal of Mathematics · pp. 1–7 · Published 24 Oct 2018
10.9734/ARJOM/2018/43494Abstract
In this paper, we considered the perturbed risk model with two-sided jumps, where ruin can only occur at some Poisson times. A generalized Gerber-Shiu-type function is discussed involving the number of observations, the ruin time and the de cit at ruin. Integro-differential equations with certain boundary conditions are derived. As it is diffcult to get closed-form solutions, a numerical sinc method is proposed.
Cited by 1
Gaomei Xie, Wenhua Han, Weihua Wang · 2021 Power System and Green Energy Conference (PSGEC) · 2021
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