Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

被引：29
|
作者：
Zhang, Zhimin [1 ]
Yang, Hu [1 ]
机构：
[1] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing 630044, Peoples R China
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2011年 / 235卷 / 05期
关键词：
Gerber-Shiu function; Dependence; Integro-differential equation; Laplace transform; Ruin probability; DEFECTIVE RENEWAL EQUATION; RUIN;
D O I：
10.1016/j.cam.2010.08.003
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：1189 / 1204
页数：16
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