The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

Abstract

In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the n th moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber–Shiu functions. The special case that the claim size distribution is exponential is considered in some detail.