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On a risk model with dependence between interclaim arrivals and claim sizes

✍ Scribed by Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne


Book ID
120433632
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
241 KB
Volume
2006
Category
Article
ISSN
0346-1238

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Gerber–Shiu analysis in a perturbed risk
✍ Zhimin Zhang; Hu Yang 📂 Article 📅 2011 🏛 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