ARTICLE
Extension of the Compound Poisson Model via the Spearman Copula
- Far East Journal of Theoretical Statistics , 67 (2) : 147-184
Lien de l'article :
https://dx.doi.org/10.17654/0972086323008
Discipline :
Mathématiques
Auteur(s) :
Delwendé Abdoul-Kabir Kafando, Frédéric Béré, Victorien Konané, Pierre Clovis Nitiéma
Auteur(s) tagués :
KONANE Fourtoua Victorien
Renseignée par : KAFANDO Delwendé Abdoul-Kabir
Résumé
In this paper, we consider an extension of the classical risk model. A tail dependence structure between claim amounts and inter-loss times with a Brownian disturbance is introduced via the Spearman copula in order to evaluate the Gerber-Shiu functions and the loss probabilities. Integro-differential equations are derived for the Gerber-Shiu function, from which expressions for the Laplace transforms of the time to ruin and the deficit at ruin are obtained, assuming exponential claim amounts.
Mots-clés
Gerber-Shiu functions, dependence, copula, integro-differential equation, Laplace transformation, probability of failure