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A delayed dual risk model

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  • Lingjiong Zhu

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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  • Lingjiong Zhu, 2023. "A delayed dual risk model," Papers 2301.06450, arXiv.org.
    • Handle: RePEc:arx:papers:2301.06450
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