INFORMATION CHANGE THE WORLD

International Journal of Information Engineering and Electronic Business(IJIEEB)

ISSN: 2074-9023 (Print), ISSN: 2074-9031 (Online)

Published By: MECS Press

IJIEEB Vol.2, No.2, Dec. 2010

On a Class of Dual Risk Model with Dependence based on the FGM Copula

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Author(s)

Hua Dong,Zaiming Liu

Index Terms

Dividends,dependence,barrier strategies

Abstract

In this paper, we consider an extension to a dual model under a barrier strategy, in which the innovation sizes depend on the innovation time via the FGM copula. We first derive a renewal equation for the expected total discounted dividends until ruin. Some differential equations and closed-form expressions are given for exponential innovation sizes. Then the optimal dividend barrier and the Laplace transform of the time to ruin are considered. Finally, a numerical example is given.

Cite This Paper

Hua Dong,Zaiming Liu,"On a Class of Dual Risk Model with Dependence based on the FGM Copula", IJIEEB, vol.2, no.2, pp.46-53, 2010.

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