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

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.

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H. You and C. Yin, "Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments," Applied Mathematics, Vol. 3 No. 11, 2012, pp. 1674-1679. doi: 10.4236/am.2012.311231.

Conflicts of Interest

The authors declare no conflicts of interest.

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