On a perturbed Sparre Andersen risk model with multi-layer dividend strategy

Abstract

In this paper, we consider a perturbed Sparre Andersen risk model, in which the inter-claim times are generalized Erlang(n) distributed. Under the multi-layer dividend strategy, piece-wise integro-differential equations for the discounted penalty functions are derived, and a recursive approach is applied to express the solutions. A numerical example to calculate the ruin probabilities is given to illustrate the solution procedure.