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On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation

✍ Scribed by Zhimin Zhang, Hailiang Yang, Hu Yang


Book ID
118805560
Publisher
Springer US
Year
2011
Tongue
English
Weight
444 KB
Volume
14
Category
Article
ISSN
1387-5841

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πŸ“œ SIMILAR VOLUMES


Gerber–Shiu analysis in a perturbed risk
✍ Zhimin Zhang; Hu Yang πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 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