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
Full Text (PDF, 790KB), PP.46-53
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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