The compound Poisson risk model with dependence under a multi-layer dividend strategy
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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.
KeywordsMulti-layer dividend strategy integro-differential equation Gerber-Shiu discounted penalty function heavy-tailed distribution
MR Subject Classification91B30
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