A State-Dependent Dual Risk Model

20 Pages Posted: 18 Oct 2015

See all articles by Lingjiong Zhu

Lingjiong Zhu

University of Minnesota - Minneapolis

Date Written: October 13, 2015

Abstract

In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the existing literature of dual risk models, the profits follow the compound Poisson model and the cost is constant. In this paper, we develop a state dependent dual risk model, in which the arrival rate of the profits and the costs depend on the current state of the wealth process. Ruin probabilities are obtained in closed-forms. Further properties and results will also be discussed.

Keywords: dual risk model, state-dependent, ruin probability

Suggested Citation

Zhu, Lingjiong, A State-Dependent Dual Risk Model (October 13, 2015). Available at SSRN: https://ssrn.com/abstract=2675221 or http://dx.doi.org/10.2139/ssrn.2675221

Lingjiong Zhu (Contact Author)

University of Minnesota - Minneapolis ( email )

206 Church Street SE
Minneapolis, MN 55455
United States

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