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The compound Poisson risk model with dependence under a multi-layer dividend strategy 被引量：4

The compound Poisson risk model with dependence under a multi-layer dividend strategy
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摘要 In this paper, a compound Poisson risk model with time-dependent claims is studiedunder 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. In this paper, a compound Poisson risk model with time-dependent claims is studiedunder 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.
作者 ZHANG Zhi-min YANG Hu
机构地区 Department of Statistics and Actuarial Science
出处 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2011年第1期1-13,共13页 高校应用数学学报（英文版）（B辑）
基金 Surported by the Third Stage of 211 Project Innovative Talent Training Project of S-09110 the Chongqing University Postgraduates’ Science and Innovation Fund (200911B1B0110327)
关键词 Multi-layer dividend strategy integro-differential equation Cerber-Shiu discounted penalty function heavy-tailed distribution. Multi-layer dividend strategy, integro-differential equation, Cerber-Shiu discounted penalty function, heavy-tailed distribution.
分类号 O211.67 [理学—概率论与数理统计] O175.5 [理学—基础数学]
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参考文献17

  • 1H Albrecher,M M Claramunt,M Mármol.On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times,Insurance Math Econom,2005,37:324-334.
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  • 10X S Lin,K P Pavlova.The compound Poisson risk model with a threshold dividend strategy,Insurance Math Econom,2006,38:57-80.

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Applied Mathematics(A Journal of Chinese Universities)
2011年 第1期

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