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338. On dual risk models with dependence structure
Invited abstract in session MB-40: Advances in Stochastic Modelling and Applied Probability Ι, stream Advances in Stochastic Modelling and Learning Methods.
Monday, 10:30-12:00Room: 96 (building: 306)
Authors (first author is the speaker)
| 1. | Ioannis Dimitriou
|
| Mathematics, University of Ioannina |
Abstract
In this work we consider generalizations of the dual risk model with proportional gains, constant expense rate, and innovations that arise according to a renewal process. Among others, we consider the case where the proportional parameter can be a constant or a random variable, as well as cases where several independence assumptions among gain/innovation sizes and the interrarrival times of the gains/innovations are lifted. More precisely, we consider the case with causal dependence structure, as well as the case where the dependence is based on the generalized Farlie-Gumbel-Morgenstern copula. We also consider the case where the proportional parameter is randomly chosen, as well as the case where we may have two-sided jumps. The ruin probability and the distribution of the time to ruin are determined.
Keywords
- Risk Analysis and Management
- Stochastic Models
- Queuing Systems
Status: accepted
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