Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula

DOI10.1007/s11009-010-9168-9zbMath1232.91343OpenAlexW1995855550MaRDI QIDQ660168

Étienne Marceau, Hélène Cossette, Fouad Marri

Publication date: 26 January 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9168-9

zbMATH Keywords

copularuin theorydependence modelscompound Poisson risk modelGerber-Shiu discounted penalty functionconstant dividend barriergeneralized Farlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Related Items (7)

Stochastic comparisons on extreme order statistics from observations associated by FGM copula ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Stochastic comparisons on sample extremes from independent or dependent gamma samples ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ A Compendium of Copulas ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A ruin model with dependence between claim sizes and claim intervals
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• On ruin for the Erlang \((n)\) risk process
• The compound Poisson risk model with multiple thresholds
• Aspects of risk theory
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• A new class of bivariate copulas.
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• Exponential Behavior in the Presence of Dependence in Risk Theory

This page was built for publication: Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula