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The compound Poisson risk model with dependence under a multi-layer dividend strategy

  • Zhi-min ZhangEmail author
  • Hu Yang
Article

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 

MR Subject Classification

91B30 

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Copyright information

© Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.Department of Statistics and Actuarial ScienceChongqing UniversityChongqingChina

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