Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments

• 作者: Chuancun Yin Honglong You
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: NEGATIVE SURPLUS RUIN Probability Laplace-Stieltjes Transform
• 年，卷（期）: 2012,（11）
• 页码范围: 1674-1679
• 页数: 6页
• 分类号: O1

摘要

In this paper, we consider a Brownian motion risk model with stochastic return on investments. Using the strong Markov property and exploiting the limitation idea, we derive the Laplace-Stieltjes Transform(LST) of the total duration of negative surplus. In addition, two examples are also present.