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The compound Poisson risk model with dependence under a multi-layer dividend strategy |
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| Authors: | Zhi-min Zhang Hu Yang |
| Affiliation: | (1) Shanghai, China;(2) Hong Kong, China;(3) Jinan, China |
| Abstract: | 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. |
| Keywords: | Multi-layer dividend strategy integro-differential equation Gerber-Shiu discounted penalty function heavy-tailed distribution. |
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