Total duration of negative surplus for a Brownian motion risk model with interest (Q2440501)

The paper deals with the surplus process of an insurance company depicted by a Brownian motion risk model with interest, assuming that the company earns investment income at a constant force of interest, when the surplus is positive. In the case of negative surplus, the company borrows money at the same force of interest. The Laplace transform of the first exit time from the upper barrier for the risk process is derived. Then, on the basis of the limitation idea, the Laplace transform of total duration of negative surplus is obtained.