In insurance risk theory, dividend and aggregate claim amount are of great research interest as they represent the insurance company’s payments to its shareholders and policyholders, respectively. Since the analyses of these two quantities are performed separately in the literature, the companion paper by Cheung et al. generalised the Gerber–Shiu expected discounted penalty function by further incorporating the moments of the aggregate discounted claims until ruin and the discounted dividends until ruin. While Cheung et al. considered the compound Poisson model with a dividend barrier in which ruin occurs almost surely, the present paper looks at this generalised Gerber–Shiu function under a threshold dividend strategy where the insurer has a positive survival probability. Because the Gerber–Shiu function is only defined for sample paths leading to ruin, we will additionally study the joint moments of the aggregate discounted claims and the discounted dividends without ruin occurring. Some explicit formulas are derived when the individual claim distribution follows a combination of exponentials. Numerical illustrations involving the correlation between aggregate discounted claims and discounted dividends are given. For the case where ruin occurs, we additionally compute the correlations between the time of ruin and the above two quantities.

We consider a risk generating claims for a period of N consecutive years (after which it expires), N being an integer valued random variable. Let Xk denote the total claims generated in the kth year, k ≥ 1. The Xk's are assumed to be independent and identically distributed random variables, and are paid at the end of the year. The aggregate discounted claims generated by the risk until it expires is defined as where υ is the discount factor. An integral equation similar to that given by Panjer (1981) is developed for the pdf of SN(υ). This is accomplished by assuming that N belongs to a new class of discrete distributions called annuity distributions. The probabilities in annuity distributions satisfy the following recursion:

where an is the present value of an n-year immediate annuity.