کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077319 1374125 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
چکیده انگلیسی
In this paper we consider an extension to the classical compound Poisson risk model in which we introduce a dependence structure between the claim amounts and the interclaim time. This structure is embedded via a generalized Farlie-Gumbel-Morgenstern copula. In this framework, we derive the Laplace transform of the Gerber-Shiu discounted penalty function. An explicit expression for the Laplace transform of the time of ruin is given for exponential claim sizes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 3, December 2008, Pages 444-455
نویسندگان
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