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

被引：0
|
作者：
Zhi-min Zhang
Hu Yang
机构：
[1] Chongqing University,Department of Statistics and Actuarial Science
来源：
Applied Mathematics-A Journal of Chinese Universities | 2011年 / 26卷
关键词：
Multi-layer dividend strategy; integro-differential equation; Gerber-Shiu discounted penalty function; heavy-tailed distribution; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：1 / 13
页数：12
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