On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

被引：3
|
作者：
Bratiichuk, Mykola [1 ]
机构：
[1] Silesian Tech Univ, Inst Math, PL-44100 Gliwice, Poland
来源：
STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 03期
关键词：
Risk process; Gerber-Shiu function; Ruin probability; Boundary functionals; BOUNDARY PROBLEMS; POISSON PROCESS;
D O I：
10.1016/j.spl.2011.11.002
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 present a new approach to the study of the Gerber-Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber-Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：496 / 504
页数：9
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