Integro-differential Equation of a Risk Model Built from the Hawkes Process with a Dividend Payement Strategy at a Variable Threshold to Shareholders


  •  Souleymane BADINI    

Abstract

This article advances the risk model constructed from the Hawkes process by incorporating a variable-threshold dividend payment strategy for shareholders, as well as a dependence structure between claim sizes and the inter-arrival times of claims through a Spearman copula. We determine the integro-differential equation associated with this risk model.



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