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On a perturbed dual risk model with dependence between inter-gain times and gain sizes

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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… Click to show full abstract

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: gain; dual risk; risk model; model; inter gain

Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2017

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