On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

Hu Yang, Zhimin Zhang and Chunmei Lan

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1835-1845

Abstract: In this paper, we study the absolute ruin problems in a multi-layer compound Poisson model with constant interest force. The piecewise integro-differential equation for the Gerber-Shiu discounted penalty function is derived, and some explicit expressions are given when the claims are exponentially distributed. As for the heavy-tailed claims, we obtain the asymptotical formula for absolute ruin probability.

Date: 2008
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