The Gerber-Shiu Discounted Penalty Function for Classical Risk Model with a Threshold Dividend Strategy

摘要

In this paper, we present the classical compound Poisson risk model with a threshold dividend strategy. Under such as strategy, no dividends are paid if the insurer’s surplus below certain threshold level. When the surplus is above this threshold level, dividends are paid at a constant rate. In this model, we derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function.