Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
Alexandros A. Zimbidis Artikkel Engelsk
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*0011448830 *008080307s2008 xx# 000 0 eng *019 $bk *08230$a368.01 *100 $aZimbidis, Alexandros A.$uDepartment of Statistics, Athens University of Economics and Business, Athens, Greece : aaz@aueb.gr$_161444500 *245 $aPremium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion *300 $aS. [16]-33 : ill. *500 $aVitenskapelig artikkel *5208 $aInneholder sammendrag *650 $aMatematiske modeller$2norart$_26742100 *650 $aforsikringer$2norart$_57167600 *650 $arisiko$9nor$2norart$_132360100 *653 $aIto integral$9eng$_161444600 *653 $aMallavin derivative$9eng$_161444700 *653 $aRiccati equation$9eng$_161444800 *653 $afractional Brownian motion$9eng$_158049500 *653 $ainsurance reserve process$9eng$_161444900 *653 $astochastic linear-quadratic (L-Q) control$9eng$_161445000 *773 $tScandinavian actuarial journal$gNo. 1 (2008)$x0346-1238$w(NO-LaBS)941286(tnr) *8564 $uhttps://doi.org/10.1080/03461230701722810 *999 $z800424534$anorart:800424534 ^