• Title of article

    The compound Poisson risk model with multiple thresholds

  • Author/Authors

    Lin، نويسنده , , X. Sheldon and Sendova، نويسنده , , Kristina P.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2008
  • Pages
    11
  • From page
    617
  • To page
    627
  • Abstract
    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.
  • Keywords
    IM12 , IM13 , Compound Poisson model , Integro-differential equation , Multiple threshold strategy , Probability of ruin , Expected discounted penalty function
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2008
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543476

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1543476