The perturbed Sparre Andersen model with a threshold dividend strategy (Q939541): Difference between revisions

The authors deal with the surplus process of an insurance portfolio (known also as the ruin process) \(U(t)=u_0 +ct -\sum_{i=1}^{N(t)}X_i + \sigma B(t) - D(t)\), where \(u_0\) is the initial wealth of the insurer, \(c>0\) the constant premium rate, \(X_i\)'s the claims, \(B(t)\) the standard Wiener process and \(D(t)\) the cumulative amount of dividends paid out up to time \(t\). The dividends are paid, at constant rate, when the surplus is above the fixed threshold. The goal is to describe the moments of the present value of all dividends until the time of ruin and the Gerber-Shiu expected penalty function. This is achieved in terms of partial integro-differential equations, under the assumption that the inter-claim times are independent and have a common generalized Erlang distribution.