Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
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Publication:3440865
DOI10.1080/03461230510009790zbMath1143.91028OpenAlexW2132682084WikidataQ115298060 ScholiaQ115298060MaRDI QIDQ3440865
Nikolaos E. Frangos, Spyridon D. Vrontos, Athanasios N. Yannacopoulos
Publication date: 29 May 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230510009790
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Related Items (2)
On average losses in the ruin problem with fractional Brownian motion as input ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process
Cites Work
- Self-similar processes in collective risk theory
- Stochastic analysis of the fractional Brownian motion
- Stock market prices and long-range dependence
- Ruin problems with assets and liabilities of diffusion type
- Extremes of a certain class of Gaussian processes
- Ruin probability for Gaussian integrated processes.
- Measuring anti-correlations in the nordic electricity spot market by wavelets
- On tail probabilities and first passage times for fractional Brownian motion
- The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Modelling of stock price changes: a real analysis approach
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