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

Scandinavian Actuarial Journal

Volumn 2005, Issue 4, 2005, Pages 285-308

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

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b UNIVERSITY OF THE AEGEAN   (Greece)

Author keywords

Fractional brownian motion; Fractional it calculus; Partial differential equations; Ruin probability

Indexed keywords

EID: 35549005007     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230510009790     Document Type: Article

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