An investment risk model with bilateral jumps

Abstract

<abstract><p>In this paper, an investment risk model with bilateral jumps was considered, assuming the insurer invested the surplus in two types of assets, namely, risk-free and risky ones, in a certain proportion. First, the integral-differential equations of the Gerber-Shiu function related to ruin and penalty were obtained, then, the sinc approximation method was used to obtain a numerical solution. Furthermore, we presented a special example for finding the explicit solutions (ES). By calculating the relative errors of the approximate solution (SA) and ES, we verified the superiority of the sinc method. Finally, several examples under different kinds of jumps were provided to show the impact of parameters such as investment ratio, discount factor or intensity of Poisson process on the ruin probability.</p></abstract>