Insurance control for classical risk model with fractional Brownian motion perturbation

In the paper, we consider a classical risk model that is perturbed by a standard fractional Brownian motion with Hurst parameter . The customers' input may be considered as a control parameter which allows the firm to reach a desired target at a specified time. By using the completion of squares method, we obtain an expression of the optimal value function and the corresponding optimal control policy.

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Year of publication:	2009
Authors:	Zhang, H.Y. ; Bai, L.H. ; Zhou, A.M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 4, p. 473-480
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223157