On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula

Author:

Cossette Hélène,Marceau Etienne,Marri Fouad

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference15 articles.

1. Exponential behavior in the presence of dependence in risk theory;Albrecher;Journal of Applied Probability,2006

2. On a risk model with dependence between interclaim arrivals and claim sizes;Boudreault;Scandinavian Actuarial Journal,2006

3. Bouye, E., Nikeghbali, A., Riboulet, G., Roncalli, T., 2000. Copulas for Finance. A reading guide and some applications. Rapport technique du Groupe de recherche opérationnelle, Crédit Lyonnais

4. Actuarial Theory for Dependent Risks—Measures, Orders and Models;Denuit,2005

5. On the time to ruin for Erlang(2) risk process;Dickson;Insurance: Mathematics and Economics,2001

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