Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach

DOI10.1080/03461230510009790zbMath1143.91028OpenAlexW2132682084WikidataQ115298060 ScholiaQ115298060MaRDI QIDQ3440865

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

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510009790

zbMATH Keywords

fractional Brownian motionpartial differential equationsruin probabilityfractional Ito's calculus

Mathematics Subject Classification ID

Related Items (2)

On average losses in the ruin problem with fractional Brownian motion as input ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process

Cites Work

• Self-similar processes in collective risk theory
• Stochastic analysis of the fractional Brownian motion
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• Ruin problems with assets and liabilities of diffusion type
• Extremes of a certain class of Gaussian processes
• Ruin probability for Gaussian integrated processes.
• Measuring anti-correlations in the nordic electricity spot market by wavelets
• On tail probabilities and first passage times for fractional Brownian motion
• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Modelling of stock price changes: a real analysis approach

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