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

被引：17

作者：

Yang, Hu ^{[1
]}

Zhang, Zhimin ^{[1
]}

机构：

[1] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing 400030, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 01期

关键词：

DISCOUNTED PENALTY-FUNCTION; DEFECTIVE RENEWAL EQUATION; DIFFUSION; RUIN; DISTRIBUTIONS; TIME;

D O I：

10.1016/j.spl.2008.07.017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：70 / 78

页数：9

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