On the -reflected processes with fBm input
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Abstract: Define a -reflected process , with input process which is a fractional Brownian motion with Hurst index and a negative linear trend. In risk theory is referred to as the risk process with tax of a loss-carry-forward type, whereas in queueing theory is referred to as the queue length process. In this paper, we investigate the ruin probability and the ruin time of the risk process over a surplus dependent time interval .
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Cites work
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- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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- On the infimum attained by the reflected fractional Brownian motion
- On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
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Cited in
(11)- The time of ultimate recovery in Gaussian risk model
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Extremes of stationary Gaussian storage models
- Approximation of ruin probability and ruin time in discrete Brownian risk models
- Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
- Approximation of the maximum of storage process with fractional Brownian motion as input
- Sample path properties of reflected Gaussian processes
- On the maxima of suprema of dependent Gaussian models
- An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
- Approximation of passage times of \(\gamma\)-reflected processes with FBM input
- On the speed of convergence of Piterbarg constants
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