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

被引：0

作者：

Wei WANG ^{[1
]}

Jing Min HE ^{[2
]}

机构：

[1] College of Mathematical Science,Tianjin Normal University

[2] College of Science,Tianjin University of Technology

来源：

Acta Mathematica Sinica,English Series | 2014年 / 01期

基金：

中国国家自然科学基金;

关键词：

First exit time; confluent hypergeometric function; negative surplus; ruin probability;

D O I：

暂无

中图分类号：

O211.67 [期望与预测];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：163 / 168

页数：6

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