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The perturbed Sparre Andersen model with a threshold dividend strategy

✍ Scribed by Heli Gao; Chuancun Yin

Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 207 KB
Volume: 220
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.08.015

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✦ Synopsis

In this paper, we consider a Sparre Andersen model perturbed by diffusion with generalized Erlang(n)-distributed inter-claim times and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the mth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu functions. The special case where the inter-claim times are Erlang(2) distributed and the claim size distribution is exponential is considered in some details.

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