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

Mykola Bratiichuk

Statistics & Probability Letters, 2012, vol. 82, issue 3, 496-504

Abstract: 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.

Keywords: Risk process; Gerber–Shiu function; Ruin probability; Boundary functionals (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:3:p:496-504

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DOI: 10.1016/j.spl.2011.11.002

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