On the compound Poisson risk model with dependence and a threshold dividend strategy

Yafeng Shi, Peng Liu and Chunsheng Zhang

Statistics & Probability Letters, 2013, vol. 83, issue 9, 1998-2006

Abstract: In this paper, we consider the compound Poisson risk model with a threshold dividend strategy and a dependence structure modeled by a Farlie–Gumbel–Morgenstern copula. The integro-differential equations satisfied by the Gerber–Shiu functions and the expected discounted dividend payments paid until ruin respectively are derived. Further, by deriving and solving the renewal equations satisfied by the Gerber–Shiu functions and the expected discounted dividend payments, we give the explicit formulas for them.

Keywords: Compound Poisson risk model; Farlie–Gumbel–Morgenstern copula; Gerber–Shiu function; Expected discounted dividend payments; Threshold strategy; Integro-differential equation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.05.008

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