%0 Journal Article
%T Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments
%A Honglong You
%A Chuancun Yin
%J Applied Mathematics
%P 1674-1679
%@ 2152-7393
%D 2012
%I Scientific Research Publishing
%R 10.4236/am.2012.311231
%X 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.
%K Negative Surplus
%K Ruin Probability
%K Laplace-Stieltjes Transform
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=24514