A delayed dual risk model
Risk Management
2023-01-18 v1 Probability
Abstract
In this paper, 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.
Cite
@article{arxiv.2301.06450,
title = {A delayed dual risk model},
author = {Lingjiong Zhu},
journal= {arXiv preprint arXiv:2301.06450},
year = {2023}
}
Comments
17 pages, 2 figures, 2 tables