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

Hu Yang and Zhimin Zhang

Statistics & Probability Letters, 2009, vol. 79, issue 1, 70-78

Abstract: 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.

Date: 2009
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