EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA

DOI10.17654/0972086323008OpenAlexW4379650811MaRDI QIDQ6170170

Victorien Konané, Pierre Clovis Nitiema, Unnamed Author, Frédéric Béré

Publication date: 15 August 2023

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/0972086323008

zbMATH Keywords

copulaintegro-differential equationLaplace transformationdependenceprobability of failureGerber-Shiu functions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• An introduction to copulas.
• Fitting bivariate cumulative returns with copulas
• Multivariate Fréchet copulas and conditional value-at-risk
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• On a risk model with dependence between interclaim arrivals and claim sizes
• Stationary distributions for fluid flow models with or without brownian noise
• On the modification of Rouche's theorem for the queueing theory problems

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