A delayed dual risk model

Lingjiong Zhu

Papers from arXiv.org

Abstract: In this paper, we study a dual risk model with delays in the spirit of Dassios-Zhao. When a new innovation occurs, there is a delay before the innovation turns into a profit. We obtain large initial surplus asymptotics for the ruin probability and ruin time distributions. For some special cases, we get closed-form formulas. Numerical illustrations will also be provided.

Date: 2023-01
New Economics Papers: this item is included in nep-rmg
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Published in Stochastic Models 33(1), 149-170, 2017

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