Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

Authors:
Zhimin Zhang;Hu Yang
Affiliations:
-;-
Venue:
Journal of Computational and Applied Mathematics
Year:
2011

Citing 1
Cited 2

An Introduction to Copulas (Springer Series in Statistics)

An Introduction to Copulas (Springer Series in Statistics)

On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy

Journal of Computational and Applied Mathematics
On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

Journal of Computational and Applied Mathematics

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Abstract

In this paper, we consider a compound Poisson risk model perturbed by a Brownian motion. We construct the bivariate cumulative distribution function of the claim size and interclaim time by Farlie-Gumbel-Morgenstern copula. The integro-differential equations and the Laplace transforms for the Gerber-Shiu functions are obtained. We also show that the Gerber-Shiu functions satisfy some defective renewal equations. For exponential claims, some explicit expressions are obtained, and numerical examples for the ruin probabilities are also given.