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The Gerber‐Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier

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  • Donghai Liu
  • Zaiming Liu
  • Dan Peng

Abstract

We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie‐Gumbel‐Morgenstern copula. An integrodifferential equation for the Gerber‐Shiu discounted penalty function is derived. We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber‐Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.

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Handle: RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:730174
DOI: 10.1155/2014/730174
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