کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4627146 | 1631802 | 2015 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markov-dependent risk model with multi-layer dividend strategy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we propose a Markov-dependent risk model with multi-layer dividend strategy in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of piecewise integro-differential equations with boundary conditions satisfied by the Gerber–Shiu function, with given initial environment state, is derived. The closed form expression of the Gerber–Shiu function is obtained when all the claim amount distributions belong to the rational family. Also, we adopt the Chebyshev polynomial approach to find the approximate solution of the integro-differential equation. The numerical simulation results show the effectiveness of the proposed methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 252, 1 February 2015, Pages 273–286
Journal: Applied Mathematics and Computation - Volume 252, 1 February 2015, Pages 273–286
نویسندگان
Zhongbao Zhou, Helu Xiao, Yingchun Deng,