An estimate of ruin probabilities for long range dependence models

zbMATH Open1125.60068MaRDI QIDQ3411268FDOQ3411268

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

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

zbMATH Keywords

semimartingaleruin probabilityestimateinsurance company

Mathematics Subject Classification ID

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

Cited In (3)

• Title not available (Why is that?)
• Reinsurance control in a model with liabilities of the fractional Brownian motion type
• Ruin estimation in multivariate models with Clayton dependence structure

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)