Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula

DOI10.1007/S11009-010-9168-9MaRDI QIDQ660168zbMATH OpenOpenAlexFDO

Authors Hélène Cossette, É. Marceau, 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

zbMATH Keywords

copuladependence modelsruin theorycompound Poisson risk modelGerber-Shiu discounted penalty functionconstant dividend barriergeneralized Farlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

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Cites work

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• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
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• On a class of renewal risk models with a constant dividend barrier
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• On ruin for the Erlang \((n)\) risk process
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds

Cited in

(12)

• Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• On a Classical Risk Model with a Constant Dividend Barrier
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Stochastic comparisons on extreme order statistics from observations associated by FGM copula
• Stochastic comparisons on sample extremes from independent or dependent gamma samples
• The G-S function of the dependent dual risk model with a constant dividend barrier
• A compendium of copulas
• scientific article; zbMATH DE number 5926530 (Why is no real title available?)
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• A constant dividend barrier in a risk model with Farlie-Gumbel-Morgenstern copula

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