Abstract
The dual risk model describes the surplus of a company with fixed expense rate and occasional random income inflows, called gains. Consider the dual risk model with two streams of gains. Type I gains arrive according to a Poisson process, and type II gains arrive according to a general renewal process. We show that the survival probability of the company can be expressed in terms of the survival probability in a dual risk process with renewal arrivals with initial reserve 0, and the survival probability in the dual risk process with Poisson arrivals in finite time.
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