The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process

In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differential equation for this quantity is derived, and its solution can be expressed as a linear combination of particular solutions of the corresponding homogeneous integro-differential equations. By using the divided differences technique and nonnegative real part roots of Lundberg’s equation, the explicit Laplace transforms of particular solutions are obtained. Specially, we can deduce closed-form results as long as the individual claim size is rationally distributed. We also give a concise matrix expression for the expected discounted dividend payments under a barrier dividend strategy. Finally, we give some examples to present our main results.