On a perturbed Sparre Andersen risk model with dividend barrier and dependence

In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the inter-claim time and individual claim size follow some bivariate distribution. Assume that a barrier dividend strategy is applied to the surplus process, so that dividends are paid out whenever the surplus level attains a barrier b. Integral equations and integro-differential equations satisfied by the Gerber-Shiu discounted penalty functions and the expected discounted dividend payments are derived, and solutions are also given for some special cases. (C) 2014 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.