ZHANG Aili, LIU Zhang. On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(3): 261-276. DOI: 10.3969/j.issn.1001-4268.2020.03.004
Citation: ZHANG Aili, LIU Zhang. On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(3): 261-276. DOI: 10.3969/j.issn.1001-4268.2020.03.004
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On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate

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  • In this paper, we consider the classical compound Poisson risk model with two-step premium rate. Using an alternative approach, we find the explicit expressions for the Laplace transforms of joint occupation times over disjoint intervals for this model. The Laplace transforms are expressed in terms of scale functions of L\'evy processes.
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