On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

Hélène Cossette, Etienne Marceau and Fouad Marri

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 444-455

Abstract: In this paper we consider an extension to the classical compound Poisson risk model in which we introduce a dependence structure between the claim amounts and the interclaim time. This structure is embedded via a generalized Farlie-Gumbel-Morgenstern copula. In this framework, we derive the Laplace transform of the Gerber-Shiu discounted penalty function. An explicit expression for the Laplace transform of the time of ruin is given for exponential claim sizes.

Keywords: Compound; Poisson; risk; model; Copula; Generalized; Farlie-Gumbel-Morgenstern; copulas; Ruin; theory; Dependence; models; Gerber-Shiu; discounted; penalty; function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:444-455

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