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A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy |
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| Institution: | College of Mathematics and Computer Science, Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha, Hunan 410081, PR China;School of Engineering, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan;Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, Canada |
| Abstract: | This paper considers a Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend. A second order integro-differential system of equations that characterizes the expected discounted dividend payments is obtained. As a closed-form solution does not exist, a numerical procedure based on the sinc function approximation through a collocation method is proposed. Finally, an example illustrating the procedure is presented. |
| Keywords: | Discounted dividend payments Markov-modulated Integro-differential equation system Threshold dividend strategy Randomized observation periods Numerical sinc method |
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