A delayed dual risk model |
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| Authors: | Lingjiong Zhu |
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| Affiliation: | Department of Mathematics, Florida State University, Tallahassee, Florida, USA |
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| Abstract: | In this article, we study a dual risk model with delays in the spirit of Dassios–Zhao. When a new innovation occurs, there is a delay before the innovation turns into a profit. We obtain large initial surplus asymptotics for the ruin probability and ruin time distributions. For some special cases, we get closed-form formulas. Numerical illustrations will also be provided. |
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| Keywords: | Dual risk model random delay ruin probability ruin time distribution |
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