On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

In this paper, we study the absolute ruin problems in a multi-layer compound Poisson model with constant interest force. The piecewise integro-differential equation for the Gerber–Shiu discounted penalty function is derived, and some explicit expressions are given when the claims are exponentially distributed. As for the heavy-tailed claims, we obtain the asymptotical formula for absolute ruin probability.