The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier. (22nd July 2014)

• Record Type: Journal Article
• Authors: Liu, Donghai; Liu, Zaiming; Peng, Dan
• Other Names: Baleanu Dumitru Academic Editor.
• Is Part Of: Abstract and applied analysis. Volume 2014(2014)
• Publication Date: 2014-07-22
• Subjects: Mathematical analysis -- Periodicals; Mathematical analysis; Applied Mathematics; Mathematical Analysis; Periodicals; 515.05
• DOI: 10.1155/2014/730174
• Languages: English
• ISSNs: 1085-3375

Abstract

Abstract : We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula. An integrodifferential equation for the Gerber-Shiu discounted penalty function is derived. We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber-Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.