TY - JOUR A2 - Zhang, Xinguang AU - Dong, Hua AU - Zhao, Xianghua PY - 2012 DA - 2012/12/30 TI - Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps SP - 401562 VL - 2012 AB - 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. SN - 1085-3375 UR - https://doi.org/10.1155/2012/401562 DO - 10.1155/2012/401562 JF - Abstract and Applied Analysis PB - Hindawi Publishing Corporation KW - ER -