On the Gerber–Shiu function for a risk model with multi-layer dividend strategy
In this paper, we present a new approach to the study of the Gerber–Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber–Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail.
Year of publication: |
2012
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Authors: | Bratiichuk, Mykola |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 496-504
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Publisher: |
Elsevier |
Subject: | Risk process | Gerber–Shiu function | Ruin probability | Boundary functionals |
Saved in:
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