A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy

Abstract: In this paper, we consider a perturbed risk process (in which the inter-occurrence times are generalized Erlang(n)-distributed) compounded by a geometric Brownian motion. Integro-differential equations with certain boundary conditions for the moment-generating function and the mth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber–Shiu function. Some special cases are considered in details. [Copyright &y& Elsevier]