The compound Poisson risk model with dependence under a multi-layer dividend strategy

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作者：

ZHANG Zhimin YANG Hu Department of Statistics and Actuarial Science Chongqing University Chongqing China ^{[401331
]}

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来源：

Applied Mathematics:A Journal of Chinese Universities(Series B) | 2011年 / 26卷 / 01期

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摘要：

In this paper, a compound Poisson risk model with time-dependent claims is studied under a multi-layer dividend strategy. A piecewise integro-differential equation for the Gerber-Shiu function is derived and solved. Asymptotic formulas of the ruin probability are obtained when the claim size distributions are heavy-tailed.

引用

页码：1 / 13

页数：13

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