The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/730174 |
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