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

Honglong You; Chuancun Yin

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

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摘要

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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《应用数学（英文）》 |2012年第11期|1674-1679|共6页
作者
Honglong You; Chuancun Yin;
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作者单位

School of Mathematical Sciences;

Qufu Normal University;

Shandong;

China;

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原文格式 PDF
正文语种 chi
中图分类数学;
关键词
Negative; Surplus; Ruin; Probability; Laplace-Stieltjes; Transform;

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1. Total duration of negative surplus for a MAP risk model [J] . DONG Hua ,ZHAO Xiang-hua . 高校应用数学学报B辑 . 2015,第004期

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

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