Ruin problem of a two-dimensional fractional Brownian motion risk process-Reference-Cited by-同舟云学术

Ruin problem of a two-dimensional fractional Brownian motion risk process

Published:2018-01-02 Issue:1 Volume:34 Page:73-97
ISSN:1532-6349
Container-title:Stochastic Models
language:en
Short-container-title:Stochastic Models

Author:

Ji Lanpeng¹,Robert Stephan¹

Affiliation:

1. Institute for Information and Communication Technologies, School of Business and Engineering Vaud (HEIG-VD), University of Applied Sciences and Arts Western Switzerland, Switzerland

Publisher

Informa UK Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/15326349.2017.1389284

Reference37 articles.

1. The Geometry of Random Fields

2. Extremes of a class of nonhomogeneous Gaussian random fields

3. Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results

4. A two-dimensional ruin problem on the positive quadrant

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the speed of convergence of discrete Pickands constants to continuous ones;Journal of Applied Probability;2024-07-31

2. Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance;Stochastic Models;2023-11-20

3. Simultaneous ruin probability for multivariate Gaussian risk model;Stochastic Processes and their Applications;2023-06

4. Estimating Finite-Time Ruin Probability of Surplus with Long Memory via Malliavin Calculus;Research Papers in Statistical Inference for Time Series and Related Models;2023

5. Extrema of multi-dimensional Gaussian processes over random intervals;Journal of Applied Probability;2022-02-28