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

被引：0

作者：

ZHANG Zhi-min YANG Hu Department of Statistics and Actuarial Science

机构：

来源：

Applied Mathematics:A Journal of Chinese Universities | 2011年 / 01期

关键词：

Multi-layer dividend strategy; integro-differential equation; Gerber-Shiu discounted penalty function; heavy-tailed distribution;

D O I：

暂无

中图分类号：

O211.67 [期望与预测];

学科分类号：

020208 ; 070103 ; 0714 ;

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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