On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

• Autores: Zhimin Zhang
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 255, Nº 1, 2014, págs. 248-269
• Idioma: inglés
• DOI: 10.1016/j.cam.2013.05.002
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• Resumen

  • In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the interclaim times. We assume that dividends are paid off under a threshold strategy. Integral and integro-differential equations satisfied by the Gerber�Shiu functions are obtained, and a solution procedure is also proposed.