TITLE:
Analysis of the Ruin Probability of a Hawkes Process with Variable Memory under Partial Payments to Shareholders and Dependent on Claims via the Spearman Copula
AUTHORS:
Souleymane Badini
KEYWORDS:
Gerber-Shiu Functions, Hawkes Process, Spearman Copula, Dividends, Integral-Differential Equation
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.13 No.10,
October
28,
2025
ABSTRACT: Previous research has mainly focused on risk models constructed from Markov processes. This article is an extension of the risk model based on Hawkes’ variable memory process with a partial dividend payment strategy to shareholders, a constant threshold b, and a dependence between the amounts of claims and the inter-claim times via the Spearman copula. We study the probability of ultimate ruin associated with this risk model and conduct simulations to observe the behavior of this probability.