2009•Unpublished venueRequires access
The Erlang(2) risk model with a dividend barrier
Shan Gao
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Abstract
In this paper, we present the Erlang(2) risk model with a dividend barrier strategy. Under such strategy, no dividends are paid if the insurer's surplus is below certain barrier level, when the surplus is above this barrier level, dividends are paid at a constant rate that does not exceed the premium rate. For the risk model, two integro-differential equations and a renewal equation for the Gerber-Shiu discounted penalty function are derived.