论文信息 - The compound Poisson risk model with multiple thresholds

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.

Kristina P. Sendova | X. Sheldon Lin | X. Lin

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