Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach

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

zbMATH Keywords

fractional Brownian motionpartial differential equationsruin probabilityfractional Ito's calculus

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

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

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