Article ID Journal Published Year Pages File Type
4640241 Journal of Computational and Applied Mathematics 2011 16 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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