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

作     者：ZHANG Zhi-min YANG Hu 

作者机构：Department of Statistics and Actuarial Science Chongqing University Chongqing 401331 China 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2011年第26卷第1期

页      面：1-13页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 070104[理学-应用数学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Surported by the Third Stage of 211 Project Innovative Talent Training Project of S-09110 the Chongqing University Postgraduates’ Science and Innovation Fund (200911B1B0110327) 

主　　题：Multi-layer dividend strategy integro-differential equation Cerber-Shiu discounted penalty function heavy-tailed distribution. 

摘      要：In this paper, a compound Poisson risk model with time-dependent claims is studiedunder 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.