A process with stochastic claim frequency and a linear dividend barrier (Q1293811)

The authors consider a risk model with stochastic parameters and a linear dividend barrier. After an exponentially distributed time the parameters may change to a different setting and, similarly, they can change back again. By explicitly solving systems of partial integro-differential equations in case of gamma distributed claims, solutions are given for determining the probability of survival, the expectation of the dividends, and the probability of reaching the barrier before ruin.