Abstract
In this paper, we present a new approach to the study of the Gerber-Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber-Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail.
| Original language | English |
|---|---|
| Pages (from-to) | 496-504 |
| Number of pages | 9 |
| Journal | Statistics and Probability Letters |
| Volume | 82 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Mar 2012 |
Keywords
- Boundary functionals
- Gerber-Shiu function
- Risk process
- Ruin probability
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
Fingerprint
Dive into the research topics of 'On the Gerber-Shiu function for a risk model with multi-layer dividend strategy'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver