Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula (Q660168)
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scientific article; zbMATH DE number 6000267
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| English | Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula |
scientific article; zbMATH DE number 6000267 |
Statements
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula (English)
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26 January 2012
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compound Poisson risk model
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copula
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generalized Farlie-Gumbel-Morgenstern copulas
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constant dividend barrier
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ruin theory
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dependence models
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Gerber-Shiu discounted penalty function
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0.9191956520080566
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0.9171058535575868
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0.872387170791626
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0.8649231791496277
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