The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier
We consider a compound Poisson risk model with dependence and a constant dividend barrier.A dependence structure Dummy Clip between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.An integrodifferential equation for the Gerber-Shiu discounted penalty function is derived.We also solve the integrodiff