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Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion. (English) Zbl 1046.91076
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.

MSC:
91B30 Risk theory, insurance (MSC2010)
60J60 Diffusion processes
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