Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion

DOI10.1239/JAP/1034082124zbMath1046.91076OpenAlexW1998753886MaRDI QIDQ4805835

Rong Wu, Chun-sheng Zhang

Publication date: 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1034082124

zbMATH Keywords

Laplace transformsduration of negative surplusprobability of ruin

Mathematics Subject Classification ID

Diffusion processes (60J60)

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