TITLE:
On a Class of Dual Model with Divided Threshold
AUTHORS:
Yuzhen Wen
KEYWORDS:
Threshold Strategy, Dual Risk Model, Generalized Erlang (n) Risk Process
JOURNAL NAME:
Advances in Pure Mathematics,
Vol.1 No.3,
June
3,
2011
ABSTRACT: In this paper, we consider the dual of the generalized Erlang (n) risk model under a threshold dividend strategy. We derive an integrodifferential equation satisfied by the expectation of the discounted dividends until ruin. The case when profits follow an exponential distribution is solved.