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

@@ Property / author @@
-Alexandros A. Zimbidis
@@ Property / author: Alexandros A. Zimbidis / rank @@
-Normal rank
@@ Property / author @@
+Alexandros A. Zimbidis
@@ Property / author: Alexandros A. Zimbidis / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+longmemo
@@ Property / describes a project that uses: longmemo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03461230701722810
+Normal rank
@@ Property / OpenAlex ID @@
+W2004798416
@@ Property / OpenAlex ID: W2004798416 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic integration with respect to fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Itô's formula with respect to fractional Brownian motion and its application
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations for compounded risk reserves
+Normal rank
@@ Property / cites work @@
+Stochastic Control for Linear Systems Driven by Fractional Noises
+Normal rank
@@ Property / cites work @@
+On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
+Normal rank
@@ Property / cites work @@
+About the linear-quadratic regulator problem under a fractional Brownian perturbation
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of fractional brownian motions
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Lectures on the use of control theory in insurance
+Normal rank
@@ Property / cites work @@
+Prediction of Outstanding Liabilities II. Model Variations and Extensions
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+On the probability of ruin of risk processes approximated by a diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+Optimal Premium Control in a Non-life Insurance Business
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank
@@ Property / cites work @@
+The combined effect of delay and feedback on the insurance pricing process: a control theory approach
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3608232