We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure 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 integrodifferential equation and show that the solution is a linear combination of the Gerber-Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.
"The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier." Abstr. Appl. Anal. 2014 (SI04) 1 - 7, 2014. https://doi.org/10.1155/2014/730174