AN INTEGRO-DIFFERENTIAL EQUATION IN COMPOUND POISSON RISK MODEL WITH VARIABLE THRESHOLD DIVIDEND PAYMENT STRATEGY TO SHAREHOLDERS AND TAIL DEPENDENCE BETWEEN CLAIMS AMOUNTS AND INTER-CLAIM TIME
Keywords:
Gerber-Shiu function, copula, integro-differential equation, ruin probability.DOI:
https://doi.org/10.17654/0974324323023Abstract
This article is an extension of the compound Poisson risk model with variable threshold dividend payment strategy to shareholders and a dependence between claims amounts and inter-claim times via Spearman copula. We find the integro-differential equation associated to this risk model.
Received: October 6, 2023
Accepted: November 21, 2023
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