The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
type: Item
instance of: scholarly article
title: The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
zbMATH Open document ID: 1406.91201
DOI: 10.1155/2014/730174
author: Dan Peng
author: Dong-Hai Liu
author: Zaiming Liu
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula. An integrodifferential equation for the Gerber-Shiu discounted penalty function is derived. We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber-Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 45J05
zbMATH DE Number: 7022965
zbMATH Keywords: Gerber-Shiu discounted penalty function
zbMATH Keywords: risk model
zbMATH Keywords: constant dividend barrier
Wikidata QID: Q59040998
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/730174
OpenAlex ID: W2101946591
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description: scientific article; zbMATH DE number 7022965