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Claim Sizes-Based Perturbed Risk Model with the Dependence Structure
Department of Mathematics, Jining University, Jining, China
- 1 Department of Mathematics, Jining University, Jining, China
Applied Mathematics·Volume 09 (2018)·Pages 1281–1298·Published 12 November 2018·DOI10.4236/am.2018.911084
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Abstract
In this paper, we focus on the perturbed risk model with dependent relation and consider the relevance from two aspects. For one side, we use copula function to model the structure of the claim size and interclaim time, and on the other side, we establish the change of premium rat depending on the random thresholds. At last, we obtain the Integro-differential equations and its Laplace transforms of the Gerber-Shiu functions for the new risk model.
KeywordsPerturbed Risk ModelPiecewise PremiumDependenceThe Laplace Transform
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