Building on a risk model with dependence between claim amounts and inter-claim times perturbed by Brownian motion, this article presents two major contributions (see [1]). First, explicit formulas for ruin probabilities are derived, increasing the practical applicability of the model. Second, extensive numerical simulations enrich the analysis and allow visualizing the complex behavior of ruin in this context. By combining these elements, the study offers a more complete and actionable understanding of ruin probabilities in this extended risk model.

Gerber-Shiu functions, dependence, copula, integro-differential equation, Laplace transformation, probability of ruin.

Received: February 6, 2024; Accepted: March 31, 2024; Published: April 6, 2024

How to cite this article: Lassané SAWADOGO, Delwendé Abdoul-Kabir KAFANDO, Frédéric BERE and Mahamoudou OUEDRAOGO, Gerber-Shiu analysis on a perturbed risk model with tail dependence via Spearman copula between claim size and claim arrival times 24(1) (2024), 95-107. http://dx.doi.org/10.17654/0975045224007

This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License

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