Title : ( Analysis of dependent risk models based on Sarmanov copula )
Authors: Hussam Ahmad , Mohammad Amini , Bahram Sadeghpour Gildeh ,
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Abstract
This paper extend the compound Poisson risk model to consider the distribution of the maximum surplus before failure when the claim amounts and claim interarrival times are dependent via a Sarmanov copula. We obtain integro-differential equation for this distribution which satisfies integro-differential equation in the state of independence and dependence via Farlie-Gumbel-Morgenstern -FGM- copula.
Keywords
, Risk models, Sarmanov copula, Distribution of them maximum surplus.
@inproceedings{paperid:1073360,
author = {Ahmad, Hussam and Amini, Mohammad and Sadeghpour Gildeh, Bahram},
title = {Analysis of dependent risk models based on Sarmanov copula},
booktitle = {پنجمین سمینار نظریه مفصل و کاربردهای آن},
year = {2019},
location = {IRAN},
keywords = {Risk models; Sarmanov copula; Distribution of them maximum surplus.},
}
%0 Conference Proceedings
%T Analysis of dependent risk models based on Sarmanov copula
%A Ahmad, Hussam
%A Amini, Mohammad
%A Sadeghpour Gildeh, Bahram
%J پنجمین سمینار نظریه مفصل و کاربردهای آن
%D 2019
