caa a22 4500 605519900 CHVBK 20210128100732.0 cr unu---uuuuu 210128e20150601xx s 000 0 eng 10.1007/s11009-013-9332-0 doi (NATIONALLICENCE)springer-10.1007/s11009-013-9332-0 Wang Wei College of Mathematical Science, Tianjin Normal University, 300387, Tianjin, China aut The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy [Elektronische Daten] [Wei Wang] In this paper, we consider a Sparre Andersen model perturbed by diffusion (in which the inter-claim times are generalized Erlang(n)-distributed) with a constant interest under a threshold dividend payment strategy. Under such a strategy, no dividends are paid if the insurer's surplus is below a certain threshold level. When the surplus is above the threshold level, part of the premium income and all of the interest income are paid out as dividends. Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends until ruin are derived. We also derive the integro-differential equations with boundary conditions for the Gerber-Shiu functions. Explicit expressions are given in terms of some functions related to high order integro-differential equations when the inter-claim times are Erlang(2) and Erlang(1) distributed. Springer Science+Business Media New York, 2013 Gerber-Shiu function nationallicence Moment generating function nationallicence Threshold dividend strategy nationallicence Integro-differential equation nationallicence Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/2(2015-06-01), 251-283 1387-5841 17:2<251 2015 17 11009 https://doi.org/10.1007/s11009-013-9332-0 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-013-9332-0 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Wang Wei College of Mathematical Science, Tianjin Normal University, 300387, Tianjin, China aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/2(2015-06-01), 251-283 1387-5841 17:2<251 2015 17 11009