Advances and Applications in Statistics
Volume 89, Issue 2, Pages 175 - 188
(October 2023) http://dx.doi.org/10.17654/0972361723056 |
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ON COMPOUND POISSON RISK MODEL WITH PARTIAL PREMIUM PAYMENT STRATEGY TO SHAREHOLDERS AND DEPENDENCE BETWEEN CLAIM AMOUNTS AND INTER-CLAIM TIMES THROUGH THE SPEARMAN COPULA
Kiswendsida Mahamoudou OUEDRAOGO, Francois Xavier OUEDRAOGO, Delwendé Abdoul-Kabir KAFANDO and Pierre Clovis NITIEMA
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Abstract: This article is an extension of the compound Poisson risk model with a partial dividend payment strategy to shareholders and a dependence between claim amounts and inter-claim times through the Spearman copula. We find the integro-differential equation of the Gerber-Shiu function associated with this risk model.
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Keywords and phrases: Gerber-Shiu functions, dependence, integro-differential equation, Laplace transform, probability of ruin.
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