Infinite series expansion of some finite-time dividend and ruin related functions

Abstract

In this paper, we consider some finite-time dividend and ruin problems in a class of risk models under the constant dividend barrier strategy. This class of risk models includes Brownian motion risk model and the compound Poisson model with and without diffusion. By using Laguerre series expansion, we derive infinite series expansion formulas for the time T-deferred Laplace transform of the ruin time and time T-deferred expected present valued of dividend payments until ruin.