The risk model with stochastic premiums and a multi-layer dividend strategy
The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber–Shiu function and the expected discounted dividend payments until ru...
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Format: | Article |
Language: | English |
Published: |
VTeX
2019-08-01
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Series: | Modern Stochastics: Theory and Applications |
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Online Access: | https://www.vmsta.org/doi/10.15559/19-VMSTA136 |