He, Jingmin; Wu, Rong; Zhang, Huayue - In: Statistics & Probability Letters 79 (2009) 10, pp. 1320-1326
This paper investigates the compound Poisson risk model with debit interest. The model assumes that the company is allowed to borrow at some debit interest rate when the surplus turns negative. We obtain the Laplace-Stieltjes transform (LST) of the hitting time of the risk process with constant...