The Gerber-Shiu function in the perturbed compound Poisson Gamma Omega model with a dividend barrier

Zhong-Qin Gao

Abstract


In this paper, the perturbed compound Poisson Gamma Omega model with a barrier dividend strategy is studied. Using the strong Markov property and Taylor formula, the integro-differential equations for the Gerber-Shiu expected discounted penalty functions are derived. The explicit solutions of the Gerber-Shiu expected discounted penalty functions are also obtained when the claim size is exponentially distributed. Furthermore, a numerical example is presented to illustrate some properties of the function.


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How to Cite this Article:

Zhong-Qin Gao, The Gerber-Shiu function in the perturbed compound Poisson Gamma Omega model with a dividend barrier, Journal of Mathematical and Computational Science, Vol 8, No 2 (2018), 181-195

Copyright © 2018 Zhong-Qin Gao. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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