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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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 |
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Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (English)
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28 February 2009
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insurance reserve process
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fractional Brownian motion
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stochastic linear-quadratic control
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Ito integral
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Riccati equation
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Malliaven derivative
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