✦ LIBER ✦
Gerber–Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
✍ Scribed by Zhimin Zhang; Hu Yang
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 303 KB
- Volume
- 235
- Category
- Article
- ISSN
- 0377-0427
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✦ Synopsis
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.