Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

Stanislaw Heilpern

Insurance: Mathematics and Economics, 2014, vol. 59, issue C, 251-257

Abstract: This paper is devoted to an extension to the classical compound risk model. We relax the independence assumption of claim amounts and interclaim times. The dependent structure between these random variables is described by the Spearman copula. We study the Laplace transform of the discounted penalty function and we give the explicit expression of it for the exponential claim size.

Keywords: Compound Poisson risk model; Copula; Ruin theory; Spearman copula; Gerber–Shiu discounted penalty function (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668714001334
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:59:y:2014:i:c:p:251-257

DOI: 10.1016/j.insmatheco.2014.10.006

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().