Ruin probability of a special risk model

MaRDI QIDQ3571491zbMATH OpenFDO

Authors Li'an Qu, Huayue Zhang

Publication date 8 July 2010

zbMATH Keywords

fractional Brownian motionmartingaleruin probabilityself-similar processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(9)

• On tail probabilities and first passage times for fractional Brownian motion
• Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
• On the ruin probability for physical fractional Brownian motion
• An estimate of ruin probabilities for long range dependence models
• Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
• scientific article; zbMATH DE number 1250159 (Why is no real title available?)
• A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
• Ruin probability for generalized -sub-Gaussian fractional Brownian motion
• On average losses in the ruin problem with fractional Brownian motion as input

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