On a Class of Erlang(2) Dependent Risk Model Based on FGM Copula

摘要：

In this paper we consider an extension to Erlang(2) risk model in which we introduce a dependence structure between the claim amounts and the interclaim times. This structure is embedded though an FGM copula. In our Erlang(2) dependent risk model, we derive the generalized Lundbergs equation and the integro-differential equation that the Gerber-Shiu discounted penalty function satisfies.

关键词： Erlang(2) risk process FGM copula Lundbergs equation integro-differential equation Gerber-Shiu discounted penalty function

作者: Cong Gu Shenghong Li

作者单位: College of Science Zhongyuan University of Technology Zhengzhou, 410007, China Department of Mathematics Zhejiang University Hangzhou, 310027, China

会议类型: 国际会议

会议名称: 2010 4th International Conference on Intelligent Information Techonlogy Application(第四届智能信息技术应用国际学术研讨会 IITA 2010)

会议地点: 秦皇岛

会议语种:英文

页码: 162-165

在线出版日期: 2010-11-05（万方平台首次上网日期，不代表论文的发表时间）