The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
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Publication:449404
DOI10.1016/j.spl.2012.03.012zbMath1246.91062MaRDI QIDQ449404
Zhaojun Yang, Wu-Yuan Jiang, Xin-Ping Li
Publication date: 30 August 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.012
phase-type distribution; integro-differential equation; multi-layer dividend strategy; gerber; shiu discounted penalty function
60H30: Applications of stochastic analysis (to PDEs, etc.)
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