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• W4384382806 abstract "<abstract><p>In this paper, we consider a two-sided jumps risk model with proportional investments and random observation periods. The downward jumps represent the claim while the upward jumps represent the random returns. Suppose an insurance company invests all of their surplus in risk-free and risky investments in proportion. In real life, corporate boards regularly review their accounts rather than continuously monitoring them. Therefore, we assume that insurers regularly observe surplus levels to determine whether they will ruin and that the random observation periods are exponentially distributed. Our goal is to study the Gerber-Shiu function (i.e., the expected discounted penalty function) of the two-sided jumps risk model under random observation. First, we derive the integral differential equations (IDEs) satisfied by the Gerber-Shiu function. Due to the difficulty in obtaining explicit solutions for the IDEs, we utilize the sinc approximation method to obtain the approximate solution. Second, we analyze the error between the approximate and explicit solutions and find the upper bound of the error. Finally, we discuss examples of sensitivity analysis.</p></abstract>" @default.
• W4384382806 created "2023-07-15" @default.
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• W4384382806 date "2023-01-01" @default.
• W4384382806 modified "2023-09-23" @default.
• W4384382806 title "Two-sided jumps risk model with proportional investment and random observation periods" @default.
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• W4384382806 doi "https://doi.org/10.3934/math.20231137" @default.
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