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...

This paper considers a Sparre Andersen model in which the inter-claim times have a phase-type distribution and the premium rate is a step function depending on the current surplus level. We derive the system of piecewise integro-differential equations for the Gerber–Shiu discounted penalty...