Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (Q3608232)
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scientific article; zbMATH DE number 5520716
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| English | Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion |
scientific article; zbMATH DE number 5520716 |
Statements
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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0.8160226941108704
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0.8068287968635559
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0.7932195663452148
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0.7683349251747131
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