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

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

zbMATH Keywords

copula; ruin theory; dependence models; compound Poisson risk model; Gerber-Shiu discounted penalty function; constant dividend barrier; generalized Farlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K05: Renewal theory

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On a perturbed Sparre Andersen risk model with dividend barrier and dependence, The risk model with stochastic premiums, dependence and a threshold dividend strategy

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