Related papers: A delayed dual risk model
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the…
We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…
We present here a new extended model of the gambler's ruin problem by incorporating delays in receiving of rewards and paying of penalties. When there is a difference between two delays, an exact analysis of the ruin probability is…
In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
We propose two dynamical models with delay taking advantage of their complex dynamics for information processing tasks. The first model incorporates coupled delayed dynamics of multiple bits, which is shown to have desirable properties as…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$…
Dynamical systems with complex delayed interactions arise commonly when propagation times are significant, yielding complicated oscillatory instabilities. In this Letter, we introduce a class of systems with multiple, hierarchically long…
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the…
The mathematical model of the labour force redistribution in investment projects is presented in the article. The redistribution mode of funds, labour force in particular, according to the equal risk approach applied to the loss of some…
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…
The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin…
We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a…
Compartment models with delay terms are widely used across a range of disciplines. The motivation to include delay terms varies across different contexts. In epidemiological and pharmacokinetic models, the delays are often used to represent…
Models incorporating delay have been frequently used to understand climate variability phenomena, but often the delay is introduced through an ad-hoc physical reasoning, such as the propagation time of waves. In this paper, the Mori-Zwanzig…