Insurance control for classical risk model with fractional Brownian motion perturbation

DOI10.1016/J.SPL.2008.09.027zbMATH Open1416.62593OpenAlexW2093253591MaRDI QIDQ1004262FDOQ1004262

Authors J. Martínez

Publication date 2 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.09.027

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20)

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Cites work

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
• General approach to filtering with fractional brownian noises — application to linear systems
• Itô's formula with respect to fractional Brownian motion and its application
• Linear estimation of self-similar processes via Lamperti's transformation
• Modelling of stock price changes: a real analysis approach
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Reinsurance control in a model with liabilities of the fractional Brownian motion type
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic analysis of fractional brownian motions

Cited in

(6)

• DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
• Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
• Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
• Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
• Reinsurance control in a model with liabilities of the fractional Brownian motion type

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