AM  Vol.3 No.11 , November 2012
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.

Cite this paper
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.
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