A delayed dual risk model. Issue 1 (2nd January 2017)

• Record Type: Journal Article
• Authors: Zhu, Lingjiong
• Is Part Of: Stochastic models. Volume 33:Issue 1(2017)
• Page Start: 149
• Page End: 170
• Publication Date: 2017-01-02
• Subjects: Dual risk model -- random delay -- ruin probability -- ruin time distribution; 91B30 -- 91B70; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/15326349.2016.1236694
• Languages: English
• ISSNs: 1532-6349

Abstract

ABSTRACT: In this article, 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.