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

作　　者：Wei WANG Jing Min HE 

机构地区：[1]College of Mathematical Science,Tianjin Normal University [2]College of Science,Tianjin University of Technology

出　　处：《Acta Mathematica Sinica,English Series》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)

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.

关 键 词：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—数学]