The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula

DOI10.1080/03461238.2014.936972zbMath1401.91149OpenAlexW2058171355MaRDI QIDQ4576974

Zhaojun Yang, Wu-Yuan Jiang

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.936972

zbMATH Keywords

integro-differential equationFarlie-Gumbel-Morgenstern copuladistribution of the maximum surplusdependent risk modelexplicit distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Integro-ordinary differential equations (45J05) Laplace transform (44A10) Renewal theory (60K05)

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Moments of discounted aggregate claims with dependence based on Spearman copula, Kernel density estimation under negative superadditive dependence and its application for real data, Large deviations for sums of claims in a general renewal risk model with the regression dependent structure

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