• Corpus ID: 227238933

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

@article{Boxma2020ADR,
  title={A dual risk model with additive and proportional gains: ruin probability and dividends.},
  author={Onno J. Boxma and Esther Frostig and Zbigniew Palmowski},
  journal={arXiv: Probability},
  year={2020}
}
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… 

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