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ON COMPOUND POISSON RISK MODEL WITH PARTIAL PREMIUM PAYMENT STRATEGY TO SHAREHOLDERS AND DEPENDENCE BETWEEN CLAIM AMOUNTS AND INTER-CLAIM TIMES THROUGH THE SPEARMAN COPULA
Keywords:
Gerber-Shiu functions, dependence, integro-differential equation, Laplace transform, probability of ruin.DOI:
https://doi.org/10.17654/0972361723056Abstract
This article is an extension of the compound Poisson risk model with a partial dividend payment strategy to shareholders and a dependence between claim amounts and inter-claim times through the Spearman copula. We find the integro-differential equation of the Gerber-Shiu function associated with this risk model.
Received: August 2, 2023
Revised: August 15, 2023
Accepted: September 8, 2023
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