The Dependent Erlang(2) Risk Model with Dividend Strategy

In this paper, an Erlang(2) risk model with time-dependent claims is studied under a multi-layer dividend strategy. First, some piecewise integro-differential equations with certain boundary conditions for the Gerber-Shiu function are derived. Then, applying these results, some defective renewal equations and explicit expressions for the Gerber-Shiu function are obtained when the joint density of the inter-claim time and claim size belongs to the rational family.