Reinsurance control in a model with liabilities of the fractional Brownian motion type

DOI10.1002/asmb.680zbMath1150.91429OpenAlexW4249414646MaRDI QIDQ3505202

Nikolaos E. Frangos, Spyridon D. Vrontos, Athanasios N. Yannacopoulos

Publication date: 18 June 2008

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.680

zbMATH Keywords

reinsurance controlmodel with liabilities of the fractional Brownian motion type

Mathematics Subject Classification ID

Related Items (3)

Optimal proportional reinsurance under dependent risks ⋮ Insurance control for classical risk model with fractional Brownian motion perturbation ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process

Cites Work

• On tail probabilities and first passage times for fractional Brownian motion
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Optimal Dynamic XL Reinsurance
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