This paper considers the compound Poisson risk model perturbed by Brownian motion with
variable premium and dependence between claims amounts and inter-claim times
via Spearman copula. It is assumed that the insurance company’s portfolio is
governed by two classes of policyholders. On the one hand, the first class
where the amount of claims is high, and on the other hand, thesecond
class where the amount of claims is low, this difference in claim amounts has
significantimplications for the insurance company’s pricing and risk management
strategies. When policyholders are in the first class, they pay an insurance
premium of a constant amount c1 and when they are in the second class, the premium paid is a constant amount c2 such that c1 > c2. The nature of claims (low or high) is
measured via random thresholds
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