Periodic threshold-type dividends for a perturbed dual risk model with a random time horizon.

AbstractIn this paper, we investigate the dividend problem where the surplus process is inscribed by a perturbed dual risk model with a random time horizon, where a periodic threshold-type dividend strategy is applied to the surplus process. Under such a dividend strategy, if the surplus level is bigger than the maximum of threshold <italic>b</italic> and the last observed level (post-dividend) at dividend-decision times, then a fraction of the excess is paid off as a lump sum dividend. In addition, we assume that ruin can only occur at dividend-decision times. When the individual gains density has a rational Laplace transform, explicit expressions for the expected value of the present dividends before ruin are provided. Finally, numerical examples are presented to explore the effect of the parameters in the model on the dividend function. [ABSTRACT FROM AUTHOR]