Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

被引：5
|
作者：
Heilpern, Stanislaw [1 ]
机构：
[1] Univ Econ, Dept Stat, PL-53345 Wroclaw, Poland
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2014年 / 59卷
关键词：
Compound Poisson risk model; Copula; Ruin theory; Spearman copula; Gerber-Shiu discounted penalty function;
D O I：
10.1016/j.insmatheco.2014.10.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is devoted to an extension to the classical compound risk model. We relax the independence assumption of claim amounts and interclaim times. The dependent structure between these random variables is described by the Spearman copula. We study the Laplace transform of the discounted penalty function and we give the explicit expression of it for the exponential claim size. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：251 / 257
页数：7
相关论文
共 50 条
  • [1] A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals
    Hao, Yuan-yuan
    Yang, Hu
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2015, 31 (02): : 445 - 452
  • [2] A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals
    Yuan-yuan HAO
    Hu YANG
    Acta Mathematicae Applicatae Sinica, 2015, 31 (02) : 445 - 452
  • [3] A ruin model with compound poisson income and dependence between claim sizes and claim intervals
    Yuan-yuan Hao
    Hu Yang
    Acta Mathematicae Applicatae Sinica, English Series, 2015, 31 : 445 - 452
  • [4] Analysis of ruin measures for the classical compound Poisson risk model with dependence
    Cossette, Helene
    Marceau, Etienne
    Marri, Fouad
    SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (03) : 221 - 245
  • [5] A ruin model with dependence between claim sizes and claim intervals
    Albrecher, H
    Boxma, OJ
    INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (02): : 245 - 254
  • [6] ON COMPOUND POISSON RISK MODEL WITH PARTIAL PREMIUM PAYMENT STRATEGY TO SHAREHOLDERS AND DEPENDENCE BETWEEN THROUGH THE SPEARMAN COPULA
    Ouedraogo, Kiswendsida Mahamoudou
    Ouedraogo, Francois Xavier
    Kafando, Delwende Abdoul-Kabir
    Nitiema, Pierre Clovis
    ADVANCES AND APPLICATIONS IN STATISTICS, 2023, 89 (02) : 175 - 188
  • [7] A Ruin Model with Random Income and Dependence between Claim Sizes and Claim Intervals
    Yang, Hu
    Hao, Yuan-yuan
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2010, 26 (04): : 625 - 632
  • [8] A ruin model with random income and dependence between claim sizes and claim intervals
    Hu Yang
    Yuan-yuan Hao
    Acta Mathematicae Applicatae Sinica, English Series, 2010, 26 : 625 - 632
  • [9] A Ruin Model with Random Income and Dependence between Claim Sizes and Claim Intervals
    Hu Yang
    Acta Mathematicae Applicatae Sinica, 2010, 26 (04) : 625 - 632
  • [10] On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
    Cossette, Helene
    Marceau, Etienne
    Marri, Fouad
    INSURANCE MATHEMATICS & ECONOMICS, 2008, 43 (03): : 444 - 455
12345