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On a Class of Dual Model with Divided Threshold
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Advances in Pure Mathematics·Volume 01 (2011)·Pages 54–58·Published 19 May 2011·DOI10.4236/apm.2011.13012
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Abstract
In this paper, we consider the dual of the generalized Erlang (n) risk model under a threshold dividend strategy. We derive an integrodifferential equation satisfied by the expectation of the discounted dividends until ruin. The case when profits follow an exponential distribution is solved.
KeywordsThreshold StrategyDual Risk ModelGeneralized Erlang (n) Risk Process
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