Total duration of negative surplus for a Brownian motion risk model with interest |
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| Authors: | Wei Wang Jing Min He |
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| Affiliation: | 1. College of Mathematical Science, Tianjin Normal University, Tianjin, 300387, P. R. China
2. College of Science, Tianjin University of Technology, Tianjin, 300384, P. R. China
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| Abstract: | 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. |
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| Keywords: | First exit time confluent hypergeometric function negative surplus ruin probability |
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