On a perturbed dual risk model with dependence between inter-gain times and gain sizes

The dual risk model may be used to model the revenue process of a company with constant expense rate and occasional gains. In this paper, we consider a dual risk model with both inter-gain times and expense rates depending on the size of previous gain. Also, we assume the process is perturbed by a B...

Full description

Saved in:
Bibliographic Details
Published in:Communications in statistics. Theory and methods 2017-11, Vol.46 (21), p.10507-10517
Main Authors: Li, Zhong, Sendova, Kristina P., Yang, Chen
Format: Article
Language:English
Subjects:
Brownian motion
Dependence
diffusion
dual model
Laplace transforms
Mathematical models
Risk
ruin time
Size distribution
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The dual risk model may be used to model the revenue process of a company with constant expense rate and occasional gains. In this paper, we consider a dual risk model with both inter-gain times and expense rates depending on the size of previous gain. Also, we assume the process is perturbed by a Brownian motion. Exact solutions for the Laplace transform and the first moment of the time to ruin with arbitrary gain-size distribution are obtained. Applications with numerical illustrations are provided to examine the impacts of the dependence structure and perturbation.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2016.1236959