On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

DOI10.1016/j.insmatheco.2008.08.009zbMath1151.91565OpenAlexW2087754343WikidataQ105583630 ScholiaQ105583630MaRDI QIDQ2518551

Fouad Marri, Hélène Cossette, Étienne Marceau

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.009

zbMATH Keywords

copularuin theorydependence modelscompound Poisson risk modelGerber-Shiu discounted penalty functiongeneralized Farlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

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• On the Time Value of Ruin
• On the modification of Rouche's theorem for the queueing theory problems

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