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Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments
School of Mathematical Sciences, Qufu Normal University, Shandong, China
School of Mathematical Sciences, Qufu Normal University, Shandong, China
- 1 School of Mathematical Sciences, Qufu Normal University, Shandong, China
- 2 School of Mathematical Sciences, Qufu Normal University, Shandong, China
Applied Mathematics·Volume 03 (2012)·Pages 1674–1679·Published 7 November 2012·DOI10.4236/am.2012.311231
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Abstract
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.
KeywordsNegative SurplusRuin ProbabilityLaplace-Stieltjes Transform
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