The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy

Wei Wang ()
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Wei Wang: Tianjin Normal University

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 2, 251-283

Abstract: Abstract In this paper, we consider a Sparre Andersen model perturbed by diffusion (in which the inter-claim times are generalized Erlang(n)-distributed) with a constant interest under a threshold dividend payment strategy. Under such a strategy, no dividends are paid if the insurer’s surplus is below a certain threshold level. When the surplus is above the threshold level, part of the premium income and all of the interest income are paid out as dividends. Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends until ruin are derived. We also derive the integro-differential equations with boundary conditions for the Gerber–Shiu functions. Explicit expressions are given in terms of some functions related to high order integro-differential equations when the inter-claim times are Erlang(2) and Erlang(1) distributed.

Keywords: Gerber–Shiu function; Moment generating function; Threshold dividend strategy; Integro-differential equation; Primary 60K10, 91B30; Secondary 60K05 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-013-9332-0

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