The Gerber‐Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier

Donghai Liu, Zaiming Liu and Dan Peng

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie‐Gumbel‐Morgenstern copula. An integrodifferential equation for the Gerber‐Shiu discounted penalty function is derived. We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber‐Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.

Date: 2014
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https://doi.org/10.1155/2014/730174

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:730174

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