The ruin problem of dependent risk model based on copula function

Cong Gu

Abstract

An extension to classical risk model with a dependence structure between the claim amounts and the interclaim times, which is embedded though an FGM copula, is considered. In this so-called Erlang(2) dependent risk model, the generalized Lundberg's equation and the integro-differential equation that the Gerber-Shiu discounted penalty function satisfies are derived.