Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

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      <subfield code="a">Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes</subfield>
      <subfield code="c">Stanislaw Heilpern</subfield>
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      <subfield code="a">This paper is devoted to an extension to the classical compound risk model. We relax the independence assumption of claim amounts and interclaim times. The dependent structure between these random variables is described by the Spearman copula. We study the Laplace transform of the discounted penalty function and we give the explicit expression of it for the exponential claim size.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
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      <subfield code="g">03/11/2014 Volumen 59 Número 1 - noviembre 2014 </subfield>
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