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

DOI: 10.4236/jmf.2024.141002, PP. 18-33

Keywords: Gerber-Shiu Functions, Dependence, Spearman Copula, Dividends, Integro-Differential Equation

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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 dependence between claim amounts and inter-claim times via the Spearman copula. We study the probability of ultimate ruin associated with this risk model.

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