International Journal of Information Engineering and Electronic Business (IJIEEB)
IJIEEB Vol. 2, No. 2, 8 Dec. 2010
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On a Class of Dual Risk Model with Dependence based on the FGM Copula
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Author(s)
Hua Dong
1,*
Zaiming Liu
1
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", International Journal of Information Engineering and Electronic Business(IJIEEB), vol.2, no.2, pp.46-53, 2010. DOI:10.5815/ijieeb.2010.02.07
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