ARTICLE
GERBER-SHIU ANALYSIS ON A PERTURBED RISK MODEL WITH TAIL DEPENDENCE VIA SPEARMAN COPULA BETWEEN CLAIM SIZE AND CLAIM ARRIVAL TIMES
- International Journal of Numerical Methods and Applications , 24 (1) : 95-107
Lien de l'article :
https://doi.org/10.17654/0975045224007
Discipline :
Mathématiques
Auteur(s) :
Lassané Sawadogo, Delwendé Abdoul-Kabir Kafando, Frédéric Béré, Mahamoudou Ouedraogo
Auteur(s) tagués :
KAFANDO Delwendé Abdoul-Kabir
Renseignée par : KAFANDO Delwendé Abdoul-Kabir
Résumé
Building on a risk model with dependence between claim amounts and inter-claim times perturbed by Brownian motion, this article presents two major contributions (see [1]). First, explicit formulas for ruin probabilities are derived, increasing the practical applicability of the model. Second, extensive numerical simulations enrich the analysis and allow visualizing the complex behavior of ruin in this context. By combining these elements, the study offers a more complete and actionable understanding of ruin probabilities in this extended risk model.
Mots-clés
Fonctions de Gerber-Shiu, dépendance, copule, équation intégro-différentielle, transformation de Laplace, probabilité de ruine