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J. Cai, H. U. Gerber and H. L. Yang, “Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest,” North American Actuarial Journal, Vol. 10, No. 2, 2006, pp. 94-119.

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.