The Perturbed Sparre-Andersen Dual Model With Interest And A Threshold Dividend Strategy

In this paper, we consider a dual model perturbed by diffusion(in which the inter-income times are generalized Erlang(n)-distributed) with a constant interest under a threshold dividend payment strategy. Under such a strategy, no divi-dends are paid if the company’s surplus is below a certain threshold level. When the surplus is above the threshold level, parts of the surplus and all of the inter-est income are paid out as dividends. Partial 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.