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Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula

Author

Listed:
  • Hélène Cossette

    (Université Laval)

  • Etienne Marceau

    (Université Laval)

  • Fouad Marri

    (Université Laval)

Abstract

In this paper, we consider the classical surplus process with a constant dividend barrier and a dependence structure between the claim amounts and the inter-claim times. We derive an integro-differential equation with boundary conditions. Its solution is expressed as the Gerber-Shiu discounted penalty function in the absence of a dividend barrier plus a linear combination of a finite number of linearly independent particular solutions to the associated homogeneous integro-differential equation. Finally, we obtain an explicit solution when the claim amounts are exponentially distributed and we investigate the effects of dependence on ruin quantities.

Suggested Citation

  • Hélène Cossette & Etienne Marceau & Fouad Marri, 2011. "Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 487-510, September.
    • Handle: RePEc:spr:metcap:v:13:y:2011:i:3:d:10.1007_s11009-010-9168-9
    DOI: 10.1007/s11009-010-9168-9
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    References listed on IDEAS

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