On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier

Hélène Cossette, Etienne Marceau and Fouad Marri

Applied Stochastic Models in Business and Industry, 2014, vol. 30, issue 2, 82-98

Abstract: In this paper, we consider a classical risk process with dependence and in the presence of a constant dividend barrier. The dependence structure between the claim amounts and the interclaim times is introduced through a Farlie–Gumbel–Morgenstern copula. We analyze the expectation of the discounted penalty function and the expectation of the present value of the distributed dividends. For each function, an integro‐differential equation with boundary conditions is derived, and the solution is provided. Finally, we find an explicit solution for each function when the claim amounts are exponentially distributed. We illustrate the impact of the dependence on these two quantities. Copyright © 2012 John Wiley & Sons, Ltd.

Date: 2014
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https://doi.org/10.1002/asmb.1928

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:30:y:2014:i:2:p:82-98

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