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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.