Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077319 | Insurance: Mathematics and Economics | 2008 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hélène Cossette, Etienne Marceau, Fouad Marri,