an:06595010
Zbl 1338.60219
Liu, Luyin; Cheung, Eric C. K.
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
EN
Appl. Math. Comput. 247, 1183-1201 (2014).
00356338
2014
j
60K15 91B30
dual risk model; semi-Markovian risk process; Gerber-Shiu function; generalized penalty function; perpetual insurance; last inter-arrival time
Summary: In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount. The occurrences of the gains and their amounts are assumed follow a semi-Markovian structure. We analyze a quantity resembling the Gerber-Shiu expected discounted penalty function [\textit{H. U. Gerber} and \textit{E. S. W. Shiu}, N. Am. Actuar. J. 2, No. 1, 48--78 (1998; Zbl 1081.60550)] that incorporates random variables defined before and after the time of ruin, such as the minimum surplus level before ruin and the time of the first gain after ruin. General properties of the function are studied, and some exact results are derived upon exponential distributional assumptions on either the inter-arrival times or the gain amounts. Applications in a perpetual insurance and the last inter-arrival time containing the time of ruin are given along with some numerical examples.
Zbl 1081.60550