Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach |
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| Authors: | N E Frangos S D Vrontos A N Yannacopoulos |
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| Institution: | 1. Department of Statistics , Athens University of Economics and Business , 76 Patission, 10434, Athens, Greece;2. Department of Statistics and Actuarial Science , University of the Aegean , Karlovassi, 83200, Samos, Greece |
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| Abstract: | In this paper we study the ruin probability at a given time for liabilities of diffusion type, driven by fractional Brownian motion with Hurst exponent in the range (0.5, 1). Using fractional Itô calculus we derive a partial differential equation the solution of which provides the ruin probability. An analytical solution is found for this equation and the results obtained by this approach are compared with the results obtained by Monte-Carlo simulation. |
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| Keywords: | Ruin probability Fractional Brownian motion Fractional Itô calculus Partial differential equations |
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