A Class Of Dependent Risk Model With Threshold Dividend Strategy

This paper considered the compound Poisson risk model with a threshold dividend strategy in the presence of interclaim arrivals and claim sizes are dependent and the dependence structure according to the classical FGM copula. In this paper, we get an integro-differential equation for Gerber-Shiu expected discounted penalty function in the risk model and the solution to the equation. Then we analyze the expected discounted dividend payment before ruin in the same risk model. An integro-differential equation is derived and then solved. Finally, the paper give the ruin probability in the special case.The thesis is divided into four chapters based on the contents:Chapter 1 is preface. Firstly we introduced the risk model with a threshold dividend strategy and interclaim-dependent claim sizes. Secondly gave the classical FGM copula function, Finally proposed the compound Poisson risk model with classical FGM copula correlation between interclaim arrivals and claim sizes in the presence of a threshold div-idend barrier.In Chapter 2, we get the nonhomogencous integro-differential equation satisfied by the Gerber-Shiu expected discounted penalty function in the risk model and the expres-sion of the solution to the equation.In Chapter 3, we analyzed the homogeneous integro-differential equation satisfied by the expected discounted dividend payment before ruin and solve the equation for the same model.In Chapter 4, we gave the ruin probability under some specific circumstances.