Gerber–Shiu analysis in a perturbed risk
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Zhimin Zhang; Hu Yang
📂
Article
📅
2011
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Elsevier Science
🌐
English
⚖ 303 KB
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