TL;DR
This paper investigates a dual risk model incorporating delays between innovations and profits, deriving asymptotic ruin probabilities, distributions, and closed-form formulas for specific cases, supported by numerical examples.
Contribution
It introduces a delayed dual risk model extending existing frameworks and derives new asymptotic and closed-form results for ruin probabilities and times.
Findings
Asymptotic ruin probability formulas for large initial surplus
Closed-form solutions in special cases
Numerical illustrations demonstrating theoretical results
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.
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Taxonomy
TopicsProbability and Risk Models · Insurance, Mortality, Demography, Risk Management · Stochastic processes and financial applications