On average losses in the ruin problem with fractional Brownian motion as input

Extremes

Volumn 12, Issue 1, 2009, Pages 77-91

  Boulongne, Patrick ^a   Pierre Loti Viaud, Daniel ^b   Piterbarg, Vladimir ^c  

^a UNIVERSITÉ PARIS 8   (France)

^b SORBONNE UNIVERSITÉ   (France)

^c MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Average loss; Gaussian process; Large excursions; Ruin problem

Indexed keywords

EID: 59449104065     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-008-0069-z     Document Type: Article

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