ARTICLE
Extension of the Sparre Andersen risk model via the Spearman copula
- Advances and Applications in Statistics , 86 (1) : 79-100
Lien de l'article :
https://doi.org/10.17654/0972361723017
Discipline :
Mathématiques
Auteur(s) :
Delwendé Abdoul-Kabir Kafando, Victorien Konané, Frédéric Béré, Pierre Clovis Nitiéma
Auteur(s) tagués :
KONANE Fourtoua Victorien
Renseignée par : KAFANDO Delwendé Abdoul-Kabir
Résumé
This paper is devoted to an extension of the Sparre Andersen risk model without the assumption of independence of claim amounts and time between claims. The dependent structure between these random variables is described by the Spearman copula. We study the Laplace transform of the discounted penalty function and the Laplace transform of the probability of the ruin.
Mots-clés
Gerber-Shiu functions, dependence, copula, integro-differential equation, Laplace transformation, probability of failure