A Dependent Risk Model with Constant Dividend Barrier and Stochastic Premium Income
Nan Huang *
School of Mathematics, Liaoning Normal University, Dalian, China.
Zhen-hua Bao
School of Mathematics, Liaoning Normal University, Dalian, China.
*Author to whom correspondence should be addressed.
Abstract
The paper considers the Gerber-Shiu discounted penalty function for a class of dependent risk models with a constant dividend barrier and stochastic premium income. The system of integro-differential equations satisfied by the Gerber-Shiu discounted penalty function is derived. In particular, an analytical expression for the Laplace transform of ruin time is derived under exponential claim conditions. Finally, numerical examples are presented.
Keywords: Random premium income, constant dividend barrier, Gerber-Shiu discount penalty function, integrodifferential equations