Samenvatting
We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains C i (i = 1, 2, . . . ) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model the proportional gain feature; that is, if the surplus process just before the ith arrival is at level u, then for a > 0 the capital jumps up to the level (1 + a)u + Ci. The ruin probability and the distribution of the time to ruin are determined. We furthermore identify the value of discounted cumulative dividend payments, for the case of a Poisson arrival process of proportional gains. In the dividend calculations, we also consider a random perturbation of our basic risk process modeled by an independent Brownian motion with drift.
| Originele taal-2 | Engels |
|---|---|
| Pagina's (van-tot) | 549-580 |
| Aantal pagina's | 32 |
| Tijdschrift | Advances in Applied Probability |
| Volume | 55 |
| Nummer van het tijdschrift | 2 |
| DOI's | |
| Status | Gepubliceerd - jun. 2023 |
Bibliografische nota
Funding Information:The research of O. Boxma was supported via a TOP-C1 grant from the Netherlands Organisation for Scientific Research. The research of E. Frostig was supported by the Israel Science Foundation, Grant No. 1999/18. The research of Z. Palmowski was supported by Polish National Science Centre Grant No. 2018/29/B/ST1/00756 (2019-2022).
Publisher Copyright:
© The Author(s), 2023. Published by Cambridge University Press on behalf of Applied Probability Trust.
Financiering
The research of O. Boxma was supported via a TOP-C1 grant from the Netherlands Organisation for Scientific Research. The research of E. Frostig was supported by the Israel Science Foundation, Grant No. 1999/18. The research of Z. Palmowski was supported by Polish National Science Centre Grant No. 2018/29/B/ST1/00756 (2019-2022).