On average losses in the ruin problem with fractional Brownian motion as input
From MaRDI portal
Publication:626279
DOI10.1007/s10687-008-0069-zzbMath1224.91046MaRDI QIDQ626279
Patrick Boulongne, Daniel Pierre-Loti-Viaud, Vladimir I. Piterbarg
Publication date: 22 February 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0069-z
60G22: Fractional processes, including fractional Brownian motion
Related Items
Generalized sub-Gaussian fractional Brownian motion queueing model, On the \(\gamma\)-reflected processes with fBm input, Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit, On the distribution of storage processes from the class $V(𝜙,𝜓)$, Application of $$\varphi$$ -Sub-Gaussian Random Processes in Queueing Theory
Cites Work
- Extreme values of portfolio of Gaussian processes and a trend
- A limit theorem for the time of ruin in a Gaussian ruin problem
- Extremes of a certain class of Gaussian processes
- Large deviations of a storage process with fractional Brownian motion as input
- On the ruin probability for physical fractional Brownian motion
- Extremes of Gaussian processes over an infinite horizon
- Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
- Extreme Value Theory as a Risk Management Tool
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item