A State-Dependent Dual Risk Model

Lingjiong Zhu

Papers from arXiv.org

Abstract: 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 existing literature of dual risk models, the profits follow the compound Poisson model and the cost is constant. In this paper, we develop a state-dependent dual risk model, in which the arrival rate of the profits and the costs depend on the current state of the wealth process. Ruin probabilities are obtained in closed-forms. Further properties and results will also be discussed.

Date: 2015-10, Revised 2023-02
New Economics Papers: this item is included in nep-rmg and nep-upt
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Citations: View citations in EconPapers (3)

Published in International Journal of Financial Engineering 2024, Volume 11, Number 3, 2350002

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1510.03920

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