The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy

Abstract

A class of delayed renewal risk processes with multi-layer dividend strategy is addressed here. Under the assumption that the premium rate is a step function depending on the current surplus level, a piecewise integro-differential equation for the Gerber–Shiu discounted penalty function in the delayed renewal risk model is derived, as an analogue of that in the ordinary renewal model, and the relationship between this function and the one in the ordinary renewal model is investigated. Subsequently, this relationship is detailed as regards both the stationary renewal risk model and the ruin probability. Finally, explicit expressions for some ruin-related quantities are included to illustrate the procedure, where the inter-claim times are generalized Erlang(2) distributed and the claims are exponentially distributed.