The perturbed Sparre Andersen model with a threshold dividend strategy

Abstract

In this paper, we consider a Sparre Andersen model perturbed by diffusion with generalized Erlang( n)-distributed inter-claim times and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the mth 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 where the inter-claim times are Erlang(2) distributed and the claim size distribution is exponential is considered in some details.