On a perturbed dual risk model with dependence between inter-gain times and gain sizes |
| |
| Authors: | Zhong Li Kristina P. Sendova Chen Yang |
| |
| Affiliation: | 1. School of Insurance and Economics, University of International Business and Economics, Beijing, China;2. Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON, Canada;3. Department of Insurance and Actuarial Science, Wuhan University, Wuhan, Hubei, China |
| |
| Abstract: | 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. |
| |
| Keywords: | Dependence diffusion dual model ruin time |
|
|
