Seção: ArtigosTítulo: A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy / Xu Chen, Ting Xiao, Xiang-qun YangAutor: Chen, XuNotas: Sumario: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 Outras classificações: 6Direitos: In Copyright (InC)Referencias externas:
