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

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.

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Year of publication:	2014
Authors:	Heilpern, Stanislaw
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 59.2014, C, p. 251-257
Publisher:	Elsevier
Subject:	Compound Poisson risk model \| Copula \| Ruin theory \| Spearman copula \| Gerber–Shiu discounted penalty function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116650