An integro-differential equation in compound Poisson risk model with variable threshold dividend payment strategy to shareholders and tail dependence between claims amounts and inter-claim time

DOI10.17654/0974324323023MaRDI QIDQ6490084

Lassané Sawadogo, Pierre Clovis Nitiema, Francois Xavier Ouedraogo, Unnamed Author, Kiswendsida Mahamoudou Ouedraogo

Publication date: 22 April 2024

Published in: Advances in Differential Equations and Control Processes (Search for Journal in Brave)

zbMATH Keywords

copulaintegro-differential equationruin probabilityGerber-Shiu function

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Risk models (general) (91B05)

Cites Work

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• A ruin model with dependence between claim sizes and claim intervals
• An introduction to copulas.
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• Aspects of risk theory
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Multivariate Fréchet copulas and conditional value-at-risk
• 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
• Stationary distributions for fluid flow models with or without brownian noise
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

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