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On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

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  • Yang, Hu
  • Zhang, Zhimin
  • Lan, Chunmei

Abstract

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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  • Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2008. "On the time value of absolute ruin for a multi-layer compound Poisson model under interest force," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1835-1845, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:13:p:1835-1845
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    References listed on IDEAS

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    Cited by:

    1. Jun Cai & Hailiang Yang, 2014. "On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest," Annals of Operations Research, Springer, vol. 212(1), pages 61-77, January.
    2. Li, Shuanming & Lu, Yi, 2013. "On the generalized Gerber–Shiu function for surplus processes with interest," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 127-134.
    3. Yu, Wenguang, 2013. "Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests," Economic Modelling, Elsevier, vol. 31(C), pages 625-634.
    4. Yang, Hu & Zhang, Zhimin, 2009. "The perturbed compound Poisson risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January.
    5. Mitric, Ilie-Radu & Badescu, Andrei L. & Stanford, David A., 2012. "On the absolute ruin problem in a Sparre Andersen risk model with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 167-178.
    6. Mitric, Ilie-Radu & Sendova, Kristina P. & Tsai, Cary Chi-Liang, 2010. "On a multi-threshold compound Poisson process perturbed by diffusion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 366-375, March.

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