On average losses in the ruin problem with fractional...

Extremes 2009 / 03 Vol. 12; Iss. 1

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

Patrick Boulongne, Daniel Pierre-Loti-Viaud, Vladimir Piterbarg
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Volume:
12
Language:
english
Pages:
15
DOI:
10.1007/s10687-008-0069-z
Date:
March, 2009
File:
PDF, 325 KB
english, 2009
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