The compound Poisson risk model with multiple thresholds

In this paper we consider a multi-threshold compound Poisson risk model. A piecewise integro-differential equation is derived for the Gerber-Shiu discounted penalty function. We then provide a recursive approach to obtain general solutions to the integro-differential equation and its generalizations. Finally, we use the probability of ruin to illustrate the applicability of the approach.

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Year of publication:	2008
Authors:	Lin, X. Sheldon ; Sendova, Kristina P.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 42.2008, 2, p. 617-627
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005374884