Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (Q3608232): Difference between revisions

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-Alexandros A. Zimbidis
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+Alexandros A. Zimbidis
@@ Property / author: Alexandros A. Zimbidis / rank @@
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+https://doi.org/10.1080/03461230701722810
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@@ Property / OpenAlex ID @@
+W2004798416
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@@ Property / cites work @@
+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
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@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
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@@ Property / cites work @@
+Stochastic integration with respect to fractional Brownian motion
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@@ Property / cites work @@
+Itô's formula with respect to fractional Brownian motion and its application
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@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
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@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
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+About the linear-quadratic regulator problem under a fractional Brownian perturbation
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+Stochastic analysis of fractional brownian motions
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Lectures on the use of control theory in insurance
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+Prediction of Outstanding Liabilities II. Model Variations and Extensions
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+On the probability of ruin of risk processes approximated by a diffusion process
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+Optimal Proportional Reinsurance Policies in a Dynamic Setting
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