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Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes |
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| Affiliation: | 1. Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra, Szafrana 4a, 65-516 Zielona Góra, Poland;2. Department of Mathematics, Texas A&M University - Kingsville, Kingsville, TX 78363-8202, USA;3. Department of Mathematics, Faculty of Science, King Abdulaziz University, P.O. Box 80203, Jeddah 21589, Saudi Arabia;1. Department of Statistics, Tamkang University, Tamsui, Taipei, 25137, Taiwan, ROC;2. Graduate Institute of Management Sciences, Tamkang University, Tamsui, Taipei, Taiwan, ROC |
| Abstract: | 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. |
| Keywords: | Compound Poisson risk model Copula Ruin theory Spearman copula Gerber–Shiu discounted penalty function |
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