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

DOI10.1007/S11009-010-9168-9zbMATH Open1232.91343OpenAlexW1995855550MaRDI QIDQ660168FDOQ660168

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

Recommendations

• A constant dividend barrier in a risk model with Farlie-Gumbel-Morgenstern copula
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• The G-S function of the dependent dual risk model with a constant dividend barrier
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• scientific article

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)

Cites Work

• A new class of bivariate copulas.
• The compound Poisson risk model with multiple thresholds
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On a risk model with dependence between interclaim arrivals and claim sizes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On ruin for the Erlang \((n)\) risk process
• Aspects of risk theory
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On a class of renewal risk models with a constant dividend barrier
• Title not available (Why is that?)
• The compound Poisson risk model with a threshold dividend strategy
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• A ruin model with dependence between claim sizes and claim intervals
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes

Cited In (12)

• Stochastic comparisons on sample extremes from independent or dependent gamma samples
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
• A compendium of copulas
• Title not available (Why is that?)
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• A constant dividend barrier in a risk model with Farlie-Gumbel-Morgenstern copula
• The risk model with stochastic premiums and a multi-layer dividend strategy
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• On a Classical Risk Model with a Constant Dividend Barrier
• Stochastic comparisons on extreme order statistics from observations associated by FGM copula
• The G-S function of the dependent dual risk model with a constant dividend barrier

This page was built for publication: Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q660168)