Article citationsMore>>

J. Paulsen and H. K. Gjessing, “Optimal Choice of Dividend Barriers for a Risk Process with Stochastic Return on Investments,” Insurance: Mathematics and Economics, Vol. 20, No. 3, 1997, pp. 215-223. doi:10.1016/S0167-6687(97)00011-5

has been cited by the following article:

• 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.