The perturbed compound Poisson risk model with multi-layer dividend strategy

In this paper, we consider a perturbed compound Poisson risk model with multi-layer dividend strategy. Integro-differential and integral equations for the expected discounted penalty function are derived and solved. When the claims are subexponentially distributed, the asymptotic formula for ruin probability is obtained.

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Year of publication:	2009
Authors:	Yang, Hu ; Zhang, Zhimin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 1, p. 70-78
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254300