Spectrally negative Lévy risk model under Erlangized barrier strategy

Abstract

In this paper, we consider a spectrally negative Lévy risk process with periodic barrier dividend strategy. We assume that the inter-dividend-decision times follow generalized Erlang distribution. Using fluctuation identities and scale functions, we obtain the joint Laplace transform of the total amount of dividends, the total number of dividends and the time to ruin, and the joint Laplace transform of the last dividend time and the total amount of dividends, respectively.