Ruin probability in the dual risk model with two revenue streams |
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Authors: | Esther Frostig |
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Affiliation: | Department of Statistics, University of Haifa, Israel |
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Abstract: | The dual risk model describes the surplus of a company with fixed expense rate and occasional random income inflows, called gains. Consider the dual risk model with two streams of gains. Type I gains arrive according to a Poisson process, and type II gains arrive according to a general renewal process. We show that the survival probability of the company can be expressed in terms of the survival probability in a dual risk process with renewal arrivals with initial reserve 0, and the survival probability in the dual risk process with Poisson arrivals in finite time. |
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Keywords: | Survival probability Busy period M/G/1 G/G/1 Random walk |
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