A dual risk model with additive and proportional gains: ruin probability and dividends

DOI10.1017/APR.2022.36MaRDI QIDQ6159397zbMATH OpenOpenAlexFDO

Authors Onno Boxma, Esther Frostig, Zbigniew Palmowski

Publication date 5 May 2023

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.00415

zbMATH Keywords

ruin probabilitydual risk modeldividendtime to ruin

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes (60J99) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Abstract: We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,dots$) 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 $i$th arrival is at level $u$, then for $a>0$ the capital jumps up to the level $(1+a)u+C_i$. 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.

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Cited in

(8)

• Some advances on the Erlang(\(n\)) dual risk model
• Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
• Ruin and dividend measures in the renewal dual risk model
• On a perturbed dual risk model with dependence between inter-gain times and gain sizes
• The dual risk model with dividends taken at arrival
• Dividend problems in the dual risk model
• A unifying approach to the analysis of business with random gains
• On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains

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