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.

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Year of publication:	2008
Authors:	Yang, Hu ; Zhang, Zhimin ; Lan, Chunmei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1835-1845
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319889