@article{Guan2022, 
author = {Lihong Guan and Xiaohong Wang},
title = {A discrete-time dual risk model with dependence based on a Poisson INAR(1) process},
year = {2022},
journal = {AIMS Mathematics},
volume = {7},
number = {12},
pages = {20823-20837},
keywords = {dual risk model, INAR(1) process, Lundberg adjustment coefficient, ruin probability},
url = {https://www.sciopen.com/article/10.3934/math.20221141},
doi = {10.3934/math.20221141},
abstract = {In this paper, we consider an extension of the classical discrete-time dual risk model, in which the first-order integer-valued autoregressive (INAR(1)) process with Poisson distributed innovations is utilized to fit the temporal dependence between the number of gains for each period. We derive the explicit expression for a function that allows us to find the Lundberg adjustment coefficient and obtain the Lundberg approximation formula for ruin probability. Some numerical examples are provided to illustrate our main results.}
}