On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
In this paper, we study the absolute ruin problems in a multi-layer compound Poisson model with constant interest force. The piecewise integro-differential equation for the Gerber-Shiu discounted penalty function is derived, and some explicit expressions are given when the claims are exponentially distributed. As for the heavy-tailed claims, we obtain the asymptotical formula for absolute ruin probability.
Year of publication: |
2008
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Authors: | Yang, Hu ; Zhang, Zhimin ; Lan, Chunmei |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1835-1845
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Publisher: |
Elsevier |
Saved in:
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