Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model

In this paper we consider a risk model with two independent classes of insurance risks in the presence multi-layer dividend strategy. We assume that both claim number processes are renewal phase-type inter-arrival times. By analysing Markov chains associated given distributions times, algorithmic schemes for determination explicit expressions Gerber–Shiu expected discounted penalty function, as well payments derived, using different approaches.