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Total Duration of Negative Surplus for a Brownian Motion Risk Model with Interest

Total Duration of Negative Surplus for a Brownian Motion Risk Model with Interest
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摘要 In this paper,we consider the Brownian motion risk model with interest.The Laplace transform of the first exit time from the upper barrier before hitting the lower barrier is obtained.Using the obtained result and exploiting the limitation idea,we derive the Laplace transform of total duration of negative surplus. In this paper,we consider the Brownian motion risk model with interest.The Laplace transform of the first exit time from the upper barrier before hitting the lower barrier is obtained.Using the obtained result and exploiting the limitation idea,we derive the Laplace transform of total duration of negative surplus.
作者 Wei WANG Jing Min HE
机构地区 College of Mathematical Science College of Science
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2014年第1期163-168,共6页 数学学报（英文版）
基金 Supported by National Natural Science Foundation of China(Grant Nos.11226204,10901086 and 11226203) the Doctoral Fund Program of Tianjin Normal University(Grant No.52XB1204)
关键词 First exit time confluent hypergeometric function negative surplus ruin probability First exit time confluent hypergeometric function negative surplus ruin probability
分类号 O211.67 [理学—概率论与数理统计] O552.1 [理学—热学与物质分子运动论]
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参考文献13

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Acta Mathematica Sinica,English Series
2014年 第1期

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