The Risk Model with a Constant Dividend Barrier Affected by a Threshold Value

Abstract

This paper considers a new risk model with a constant dividend barrier, which the claim amount affected by a threshold value. The hypothesis of the model is presented and the integro-differential equation for the Gerber-Shiu penalty function is given. Then the linear solution of the Gerber-Shiu discounted penalty function is figured out. The paper also derives the integro-differential equation and the linear solution of the expected discounted dividend payments. An example is given too.