| ���ڹ���FGM Copula���������Ŷ�����ģ���µ�Gerber-Shiu�������� |
| |
| 引用本文： | ����,�˹���,����,��Զ��. ���ڹ���FGM Copula���������Ŷ�����ģ���µ�Gerber-Shiu��������[J]. 应用概率统计, 2006, 35(4): 373-396. DOI: 10.3969/j.issn.1001-4268.2019.04.004 |
| |
| 作者姓名： | ���� �˹��� ���� ��Զ�� |
| |
| 作者单位： | ????????????????????, ????, 541004 |
| |
| 摘 要： |
|
| 关 键 词： | ???????????? ???????????? ????????任 覴???·??? ??????? |
A Perturbed Risk Model with Dependence Based on a Generalized Farlie-Gumbel-Morgenstern Copula |
| |
| YANG Long,DENG Guohe,YANG Li,HUANG Yuanmin. A Perturbed Risk Model with Dependence Based on a Generalized Farlie-Gumbel-Morgenstern Copula[J]. Chinese Journal of Applied Probability and Statisties, 2006, 35(4): 373-396. DOI: 10.3969/j.issn.1001-4268.2019.04.004 |
| |
| Authors: | YANG Long DENG Guohe YANG Li HUANG Yuanmin |
| |
| Affiliation: | School of Mathematics and Statistics, Guangxi Normal University, Guilin, 541004, China |
| |
| Abstract: | ??In this paper, we consider a perturbed compound Poisson risk model with dependence, where the dependence structure for the claim size and the inter-claim time is modeled by a generalized Farlie-Gumbel-Morgenstern copula. The integro equations, the Laplace transforms and the defective renewal equations for the Gerber-Shiu functions are obtained. For exponential claims, some explicit expressions are obtained, and some numerical examples for the ruin probabilities are also provided. |
| |
| Keywords: | time-dependent claims Gerber-Shiu function Laplace transform defective renewal equation ruin probability |
|
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
|
点击此处可从《应用概率统计》下载全文 |
