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Analyzing Bankruptcy Probability under Partial Shareholder Payments and Dependent Claims via Spearman Copula

¹ Department of Mathematics, Université Joseph KI ZERBO, Ouagadougou, Burkina Faso
² Department of Mathematics, Université Joseph KI ZERBO, Ouagadougou, Burkina Faso
³ Department of Mathematics, Université Joseph KI ZERBO, Ouagadougou, Burkina Faso
⁴ Department of Mathematics, Université Joseph KI ZERBO, Ouagadougou, Burkina Faso
⁵ Department of Mathematics, Université Thomas SANKARA, Ouagadougou, Burkina Faso
⁶ Department of Mathematics, Université Ouaga 3S, Ouagadougou, Burkina Faso

Journal of Mathematical Finance·Volume 14 (2023)·Pages 18–33·Published 18 December 2023·DOI10.4236/jmf.2024.141002

Abstract

This paper is an extension of the compound poisson risk model with a strategy of partial dividend payment to shareholders, constant threshold b and depe ndence between claim amounts and inter-claim times via the Spearman copula. We study the probability of ultimate ruin associated with this risk model.

KeywordsGerber-Shiu FunctionsDependenceSpearman CopulaDividendsIntegro-Differential Equation

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Analyzing Bankruptcy Probability under Partial Shareholder Payments and Dependent Claims via Spearman Copula

Abstract

References (24)