Journal of Chemical and Pharmaceutical Research (ISSN : 0975-7384)

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Original Articles: 2013 Vol: 5 Issue: 9

The ruin problem of dependent risk model based on copula function

Abstract

An extension to classical risk model with a dependence structure between the claim amounts and the interclaim times, which is embedded though an FGM copula, is considered. In this so-called Erlang(2) dependent risk model, the generalized Lundberg's equation and the integro-differential equation that the Gerber-Shiu discounted penalty function satisfies are derived.