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Search: subject:"ruin probability"
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On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Computational Statistics
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of simulation of
ruin
probability
over infinite horizon for fractional Brownian motion …
Persistent link: https://www.econbiz.de/10010759583
Saved in:
232
On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Mathematical Methods of Operations Research
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of simulation of
ruin
probability
over infinite horizon for fractional Brownian motion …
Persistent link: https://www.econbiz.de/10010999997
Saved in:
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