Reinsurance control in a model with liabilities of the fractional Brownian motion type

Applied Stochastic Models in Business and Industry

Volumn 23, Issue 5, 2007, Pages 403-428

  Frangos, N E ^a   Vrontos, S D ^b   Yannacopoulos, A N ^b  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b UNIVERSITY OF THE AEGEAN   (Greece)

Author keywords

Fractional Brownian motion; Proportional reinsurance; Reinsurance control

Indexed keywords

NONLINEAR PROGRAMMING; PARAMETER ESTIMATION; PROBLEM SOLVING; PUBLIC POLICY; STOCHASTIC MODELS;

FRACTIONAL BROWNIAN MOTION; PROPORTIONAL REINSURANCE; REINSURANCE CONTROL;

BROWNIAN MOVEMENT;

EID: 35548960563     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.680     Document Type: Article

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