The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula

DOI10.1080/03461238.2014.936972zbMath1401.91149OpenAlexW2058171355MaRDI QIDQ4576974

Zhaojun Yang, Wu-Yuan Jiang

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.936972

zbMATH Keywords

integro-differential equationFarlie-Gumbel-Morgenstern copuladistribution of the maximum surplusdependent risk modelexplicit distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Integro-ordinary differential equations (45J05) Laplace transform (44A10) Renewal theory (60K05)

Related Items (3)

Moments of discounted aggregate claims with dependence based on Spearman copula ⋮ Kernel density estimation under negative superadditive dependence and its application for real data ⋮ Large deviations for sums of claims in a general renewal risk model with the regression dependent structure

Cites Work

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• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
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• On a risk model with dependence between interclaim arrivals and claim sizes
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• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Exponential Behavior in the Presence of Dependence in Risk Theory
• The Time Value of Ruin in a Sparre Andersen Model

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