Total duration of negative surplus for the dual model

Min Song, Rong Wu and Xin Zhang

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 6, 591-600

Abstract: In the dual model, we allow the surplus process to continue if the surplus falls below zero. By introducing the renewal measure of the defective renewal sequence constituted by the zero points of the surplus process, we obtain the probability of hitting the zero point. Further, we derive formulae for the Laplace transform, expectation and variance of total duration of negative surplus and present some examples with an exponential individual jump amount distribution. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:6:p:591-600

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