Hürlimann, W. (2004) Multivariate Fréchet Copulas and Conditional Value-at-Risk. International Journal of Mathematics and Mathematical Sciences, 2004, Article ID: 361614. https://doi.org/10.1155/S0161171204210158

has been cited by the following article:

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

  AUTHORS: Kiswendsida Mahamoudou Ouedraogo, Delwendé Abdoul-Kabir Kafando, Lassané Sawadogo, François Xavier Ouedraogo, Pierre Clovis Nitiema

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

  JOURNAL NAME: Journal of Mathematical Finance, Vol.14 No.1, January 17, 2024

  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.