Zhang, Chunsheng; Wu, Rong Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion. (English) Zbl 1046.91076 J. Appl. Probab. 39, No. 3, 517-532 (2002). A compound Poisson process perturbed by diffusion is considered. Expectation and variance of total duration of a negative surplus are obtained. Examples with an exponential individual claim are presented. Reviewer: Alexandra Rodkina (Kingston/Jamaica) Cited in 15 Documents MSC: 91B30 Risk theory, insurance (MSC2010) 60J60 Diffusion processes Keywords:Laplace transforms; probability of ruin; duration of negative surplus PDF BibTeX XML Cite \textit{C. Zhang} and \textit{R. Wu}, J. Appl. Probab. 39, No. 3, 517--532 (2002; Zbl 1046.91076) Full Text: DOI