Gerber-Shiu analysis on a perturbed risk model with tail dependence via spearman copula between claim size and claim arrival times
DOI10.17654/0975045224007MaRDI QIDQ6552054
Author name not available (Why is that?), Lassané Sawadogo, Frédéric Béré, Mahamoudou Ouedraogo
Publication date: 8 June 2024
Published in: International Journal of Numerical Methods and Applications (Search for Journal in Brave)
copulaintegro-differential equationLaplace transformationdependenceprobability of ruinGerber-Shiu functions
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)
Cites Work
- Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
- An introduction to copulas.
- 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 the Time Value of Ruin
- EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA
- 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
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