The compound Poisson risk model with multiple thresholds

DOI10.1016/J.INSMATHECO.2007.06.008MaRDI QIDQ998276zbMATH OpenOpenAlexFDO

Authors X. Sheldon Lin, Kristina P. Sendova

Publication date 28 January 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.06.008

zbMATH Keywords

integro-differential equationcompound Poisson modelexpected discounted penalty functionprobability of ruinmultiple threshold strategy

Mathematics Subject Classification ID

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Cited in

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• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• A risk model with varying premiums: its risk management implications
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