کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4640241 1341268 2011 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Gerber–Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Gerber–Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
چکیده انگلیسی

In this paper, we consider a compound Poisson risk model perturbed by a Brownian motion. We construct the bivariate cumulative distribution function of the claim size and interclaim time by Farlie–Gumbel–Morgenstern copula. The integro-differential equations and the Laplace transforms for the Gerber–Shiu functions are obtained. We also show that the Gerber–Shiu functions satisfy some defective renewal equations. For exponential claims, some explicit expressions are obtained, and numerical examples for the ruin probabilities are also given.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 5, 1 January 2011, Pages 1189–1204
نویسندگان
, ,