The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier
Joint Authors
Liu, Donghai
Liu, Zaiming
Peng, Dan
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-22
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We consider a compound Poisson risk model with dependence and a constant dividend barrier.
A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.
An integrodifferential equation for the Gerber-Shiu discounted penalty function is derived.
We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber-Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.
American Psychological Association (APA)
Liu, Donghai& Liu, Zaiming& Peng, Dan. 2014. The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033966
Modern Language Association (MLA)
Liu, Donghai…[et al.]. The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier. Abstract and Applied Analysis No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1033966
American Medical Association (AMA)
Liu, Donghai& Liu, Zaiming& Peng, Dan. The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033966
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033966