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

Honglong You, Chuancun Yin

School of Mathematical Sciences, Qufu Normal University, Shandong, China.

DOI: 10.4236/am.2012.311231                

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.

Keywords

Negative Surplus; Ruin Probability; Laplace-Stieltjes Transform

Conflicts of Interest

The authors declare no conflicts of interest.

References

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