Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
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Publication:660168
DOI10.1007/s11009-010-9168-9zbMath1232.91343MaRDI QIDQ660168
Étienne Marceau, Hélène Cossette, Fouad Marri
Publication date: 26 January 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-010-9168-9
copula; ruin theory; dependence models; compound Poisson risk model; Gerber-Shiu discounted penalty function; constant dividend barrier; generalized Farlie-Gumbel-Morgenstern copulas
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K05: Renewal theory
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