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A ruin model with dependence between claim sizes and claim intervals

✍ Scribed by Hansjörg Albrecher; Onno J. Boxma


Book ID
108153027
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
113 KB
Volume
35
Category
Article
ISSN
0167-6687

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Gerber–Shiu analysis in a perturbed risk
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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