Work

On dual risk models with proportional gains and dependencies

Year: 2024

Type: article

Abstract: In this work, we consider extensions of the dual risk model with proportional gains by introducing dependence structures among gain sizes and gain interarrival times. Among others, we further consider the case where the proportionality parameter is randomly chosen, the case where it is a uniformly random variable, as well as the case where we may have upward as well as downward jumps. Moreover, we consider the case with causal dependence structure, as well as the case where the dependence is based on the generalized Farlie–Gumbel–Morgenstern copula. The ruin probability and the distribution of the time to ruin are investigated.

Source: Probability in the Engineering and Informational Sciences

DOI: 10.1017/s0269964824000214

Author: Ioannis Dimitriou

Institution: University of Ioannina

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,450

OpenAlex ID: W4405686989