On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

Mykola Bratiichuk

doi:10.1016/j.spl.2011.11.002

On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

Mykola Bratiichuk

Katedra Modelowania Sztucznej Inteligencji (RMS/RMS2)

Wyniki badań: Wkład do czasopisma › Artykuł › recenzja

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Abstrakt

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.

Język oryginału	angielski
Strony (od–do)	496-504
Liczba stron	9
Czasopismo	Statistics and Probability Letters
Tom	82
Numer wydania	3
Identyfikatory DOI	https://doi.org/10.1016/j.spl.2011.11.002
Status publikacji	Opublikowano - mar 2012

Obszary tematyczne ASJC Scopus

Statystyka i prawdopodobieństwo
Statystyka, prawdopodobieństwo i niepewność

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10.1016/j.spl.2011.11.002

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title = "On the Gerber-Shiu function for a risk model with multi-layer dividend strategy",

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.",

keywords = "Boundary functionals, Gerber-Shiu function, Risk process, Ruin probability",

author = "Mykola Bratiichuk",

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AU - Bratiichuk, Mykola

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N2 - 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.

AB - 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.

KW - Boundary functionals

KW - Gerber-Shiu function

KW - Risk process

KW - Ruin probability

UR - https://www.scopus.com/pages/publications/84855272298

U2 - 10.1016/j.spl.2011.11.002

DO - 10.1016/j.spl.2011.11.002

M3 - Article

AN - SCOPUS:84855272298

SN - 0167-7152

VL - 82

SP - 496

EP - 504

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

Abstrakt

Obszary tematyczne ASJC Scopus

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