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

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  • Zhong Li
  • Kristina P. Sendova
  • Chen Yang

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.

Suggested Citation

  • Zhong Li & Kristina P. Sendova & Chen Yang, 2017. "On a perturbed dual risk model with dependence between inter-gain times and gain sizes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(21), pages 10507-10517, November.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:21:p:10507-10517
    DOI: 10.1080/03610926.2016.1236959
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