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

页码：251 / 257

页数：7

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