The perturbed Sparre Andersen model with a threshold dividend strategy

By Heli Gao, Chuancun Yin. 2008

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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.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1e4ef9de1acd6f14e4e3fab51c336b0fd60c2a3f