Mitric, Ilie-Radu; Sendova, Kristina P.; Tsai, Cary … - In: Statistics & Probability Letters 80 (2010) 5-6, pp. 366-375
We consider a multi-layer compound Poisson surplus process perturbed by diffusion and examine the behaviour of the Gerber-Shiu discounted penalty function. We derive the general solution to a certain second order integro-differential equation. This permits us to provide explicit expressions for...