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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.
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
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005254300
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