An estimate of ruin probabilities for long range dependence models

MaRDI QIDQ3411268zbMATH OpenFDO

Authors Yuliya S. Mishura

Publication date 8 December 2006

Full work available at URL http://www.ams.org/tpms/2006-72-00/S0094-9000-06-00668-5/home.html

zbMATH Keywords

estimateinsurance companyruin probabilitysemimartingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• scientific article; zbMATH DE number 5026543
• Self-similar processes in collective risk theory
• Estimates for non-ruin probability of insurance company in the discrete time model
• Fractional Poisson process: long-range dependence and applications in ruin theory
• Ruin probability of a special risk model

Cited in

(4)

• Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
• Reinsurance control in a model with liabilities of the fractional Brownian motion type
• Ruin estimation in multivariate models with Clayton dependence structure
• scientific article; zbMATH DE number 5026543 (Why is no real title available?)

This page was built for publication: An estimate of ruin probabilities for long range dependence models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3411268)