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

DOI: 10.4236/am.2012.311231, PP. 1674-1679

Keywords: Negative Surplus, Ruin Probability, Laplace-Stieltjes Transform

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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.

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