Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

In this paper we consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, the Poisson and the generalized Erlang(2) process. We prove that the Gerber-Shiu function satisfies some defective renewal equations. Exact representations for the solutions of these equations are derived through an associated compound geometric distribution and an analytic expression for this quantity is given when the claim severities have rationally distributed Laplace transforms. Further, the same risk model is considered in the presence of a constant dividend barrier. A system of integro-differential equations with certain boundary conditions for the Gerber-Shiu function is derived and solved. Using systems of integro-differential equations for the moment-generating function as well as for the arbitrary moments of the discounted sum of the dividend payments until ruin, a matrix version of the dividends-penalty is derived. An extension to a risk model when the two independent claim counting processes are Poisson and generalized Erlang(nu), respectively, is considered, generalizing the aforementioned results. (C) 2009 Elsevier B.V. All rights reserved.