Copula相依的Erlang(2)风险模型

The Erlang(2) Risk Model with Copula Correlation

本文研究了在按常值红利界限分红的条件下,索赔额与索赔来到时间具有经典FGM Copula相依关系的Erlang(2)风险模型,同时给出了这一模型下Gerber-Shiu期望折扣罚金函数满足的积分-微分方程及其解,研究了这一模型下当索赔额服从指数分布时,破产概率满足的积分-微分方程及其解.

This dissertation is devoted to dealing with the Erlang（ 2） risk model with classical FGM copula correlation between the interclaim arrivals and the claim amounts in the presence of a constant dividend barrier.In this paper,we get an integor-differential equation for Gerber-Shiu expected discounted penalty function in the risk model and the solution to the equation. Then we obtain an explicit solution when the claim amounts are exponentially distributed.