Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (Q3608232): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q609675 |
Changed an Item |
||
| Property / author | |||
| Property / author: Alexandros A. Zimbidis / rank | |||
Normal rank | |||
Revision as of 21:51, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion |
scientific article |
Statements
Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (English)
0 references
28 February 2009
0 references
insurance reserve process
0 references
fractional Brownian motion
0 references
stochastic linear-quadratic control
0 references
Ito integral
0 references
Riccati equation
0 references
Malliaven derivative
0 references
