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.