TITLE:
Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments
AUTHORS:
Honglong You, Chuancun Yin
KEYWORDS:
Negative Surplus; Ruin Probability; Laplace-Stieltjes Transform
JOURNAL NAME:
Applied Mathematics,
Vol.3 No.11,
November
20,
2012
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.