Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
From MaRDI portal
Publication:3608232
DOI10.1080/03461230701722810zbMath1164.91038OpenAlexW2004798416MaRDI QIDQ3608232
Publication date: 28 February 2009
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230701722810
fractional Brownian motionRiccati equationIto integralstochastic linear-quadratic controlinsurance reserve processMalliaven derivative
Related Items
Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
Uses Software
Cites Work
- Itô's formula with respect to fractional Brownian motion and its application
- Stochastic differential equations for compounded risk reserves
- Stochastic analysis of the fractional Brownian motion
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Stochastic integration with respect to fractional Brownian motion
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- An inequality of the Hölder type, connected with Stieltjes integration
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Premium Control in a Non-life Insurance Business
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- On the probability of ruin of risk processes approximated by a diffusion process
- Lectures on the use of control theory in insurance
- Stochastic analysis of fractional brownian motions
- About the linear-quadratic regulator problem under a fractional Brownian perturbation
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Control for Linear Systems Driven by Fractional Noises
- Fractional Brownian Motions, Fractional Noises and Applications
- The combined effect of delay and feedback on the insurance pricing process: a control theory approach
- Unnamed Item
