Article ID Journal Published Year Pages File Type
1153876 Statistics & Probability Letters 2009 9 Pages PDF
Abstract

In this paper, we consider a perturbed compound Poisson risk model with multi-layer dividend strategy. Integro-differential and integral equations for the expected discounted penalty function are derived and solved. When the claims are subexponentially distributed, the asymptotic formula for ruin probability is obtained.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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The perturbed compound Poisson risk model with multi-layer dividend strategy
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