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

DOI10.1007/S10114-013-2008-4zbMath1291.91132OpenAlexW2014223075MaRDI QIDQ2440501

Wei Wang, Jing-Min He

Publication date: 18 March 2014

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-2008-4

zbMATH Keywords

ruin probabilityfirst exit timenegative surplusconfluent hyper-geometric function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (1)

Moments of deficit duration and its proportion in general compound binomial model

Cites Work

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• When does the surplus reach a given target?
• Occupation measure and local time of classical risk processes
• Total duration of negative surplus for the risk model with debit interest
• Optimal dividends in the Brownian motion risk model with interest
• On some measures of the severity of ruin in the classical Poisson model
• Ruin problems with assets and liabilities of diffusion type
• How long is the surplus below zero?
• On occupation times for a risk process with reserve-dependent premium
• On the distribution of the duration of negative surplus
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion

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