Perturbed MAP risk models with dividend barrier strategies

Abstract

In the context of a dividend barrier strategy (see, e.g. Lin, Willmot and Drekic (2003)) we analyze the moments of the discounted dividend payments and the expected discounted penalty function for sutplus processes with claims arriving according to a Markovian arrival process (MAP). We show that a relationship similar to the dividend-penalty identity of Gerber, Lin and Yang (2006) can be established for the class of perturbed MAP surplus processes, extending in the process some results of Li and Lu (2008) for the Markovmodulated risk model. Also, we revisit the same ruin-related quantities in an identical MAP risk model with the only exception that the barrier level effective at time t depends on the state of the underlying environment at this time. Similar relationships are investigated and derived. Numerical examples are also considered. © Applied Probability Trust 2009.