On dual risk models with proportional gains and dependencies
Probability
2025-04-23 v1
Abstract
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional parameter is randomly chosen, the case where it is a uniformly random variable, as well as the case where we may have upwards as well as downwards jumps. Moreover, we consider the case with causal dependence structure, as well as the case where the dependence is based on the generalized Farlie-Gumbel-Morgenstern copula. The ruin probability and the distribution of the time to ruin are investigated.
Keywords
Cite
@article{arxiv.2402.12178,
title = {On dual risk models with proportional gains and dependencies},
author = {Ioannis Dimitriou},
journal= {arXiv preprint arXiv:2402.12178},
year = {2025}
}