International Journal of Systems Science and Applied Mathematics

Volume 9, Issue 1, March 2024

  • Research Article

    Improving Risk Assessment and Pricing with Dividend Barriers and Dependence Modelling: An Extension of the Cramer-Lundberg Model with Spearman Copulas

    Kiswendsida Mahamoudou Ouedraogo, Delwendé Abdoul-Kabir Kafando*, Frédéric Bere, Pierre Clovis Nitiema

    Issue: Volume 9, Issue 1, April 2024
    Pages: 1-8
    Received: 7 December 2023
    Accepted: 28 December 2023
    Published: 11 January 2024
    Abstract: The compound Poisson risk model is a probabilistic model commonly used to evaluate the financial risk of an insurance company. This model assumes that claims arrive according to a Poisson process and that claim sizes follow an independent probability distribution. This paper presents an extension of this model, incorporating a dividend payment stra... Show More