{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q609205","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q609205","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q609205","kernelVersion":"v1","immutable":true,"modified":"2026-01-16T21:29:36Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q609205","name":"Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times","headline":"Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times","description":"scientific article; zbMATH DE number 5821392","url":"https://portal.mardi4nfdi.de/entity/Q609205","datePublished":"2010-11-30","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q292340"},{"@id":"https://portal.mardi4nfdi.de/entity/Q250428"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q61355"}],"identifier":{"@type":"PropertyValue","propertyID":"doi","value":"10.1016/J.CAM.2010.08.003","url":"https://doi.org/10.1016/J.CAM.2010.08.003"},"sameAs":["https://doi.org/10.1016/J.CAM.2010.08.003"],"comment":"The authors analyse a compound Poisson risk model perturbed by a Brownian motion, that is  \\[  U(t)=u+ct-S(t)+\\sigma B(t),  \\]  where \\(u\\geq0\\) is the initial surplus, \\(c>0\\) the premium rate, \\(S(t)\\) the aggregate claim process, \\(B(t)\\) a standard Brownian motion starting from \\(0\\) and \\(\\sigma\\) is the diffusion volatility.  In particular  \\[  S(t)=\\sum_{i=1}^{N(t)}X_i,  \\]  \\(\\{N(t), t\\geq0\\}\\) being a Poisson process which depicts the number of claims up to \\(t\\) and \\(\\{X_i, i\\geq 1\\}\\) being a sequence of strictly positive random variables which represent the individual claim sizes.  A central role is played by the sequence of random variables \\(\\{V_i, i\\geq 1\\}\\), representing the interclaim times. In fact the paper focuses on the case of a perturbed risk model with dependence, i.e. under the assumption that the claim size and the interclaim time have a certain bivariate c.d.f. Within this context, modelling the c.d.f. by the  Farlie-Gumbel-Morgenstern copula, the integro-differential equations involving the Gerber-Shiu functions are obtained.  Some examples are given in the case of exponential claims.","citation":[{"@id":"https://portal.mardi4nfdi.de/entity/Q5637709"},{"@id":"https://portal.mardi4nfdi.de/entity/Q756904"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1265935"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1413277"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1413409"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1413299"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1413363"},{"@id":"https://portal.mardi4nfdi.de/entity/Q704406"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3440853"},{"@id":"https://portal.mardi4nfdi.de/entity/Q2518551"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3103206"},{"@id":"https://portal.mardi4nfdi.de/entity/Q659158"},{"@id":"https://portal.mardi4nfdi.de/entity/Q820222"},{"@id":"https://portal.mardi4nfdi.de/entity/Q3150773"},{"@id":"https://portal.mardi4nfdi.de/entity/Q4327109"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1413289"},{"@id":"https://portal.mardi4nfdi.de/entity/Q977146"},{"@id":"https://portal.mardi4nfdi.de/entity/Q5716025"},{"@id":"https://portal.mardi4nfdi.de/entity/Q1962817"}]},"provenance":{"prov:generatedAtTime":"2026-01-16T21:29:36Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}