On average losses in the ruin problem with fractional Brownian motion as input
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Publication:626279
DOI10.1007/s10687-008-0069-zzbMath1224.91046OpenAlexW2086942974MaRDI 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
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Related Items (6)
On the distribution of storage processes from the class $V(𝜙,𝜓)$ ⋮ Application of $$\varphi$$ -Sub-Gaussian Random Processes in Queueing Theory ⋮ On the maxima of suprema of dependent Gaussian models ⋮ Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit ⋮ Generalized sub-Gaussian fractional Brownian motion queueing model ⋮ On the \(\gamma\)-reflected processes with fBm input
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- 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
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