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Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)

An estimate of ruin probabilities for long range dependence models


Author: Yulia Mishura
Translated by: Oleg Klesov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 72 (2005).
Journal: Theor. Probability and Math. Statist. 72 (2006), 103-111
MSC (2000): Primary 60H10, 91B30; Secondary 60G44, 60G15
Published electronically: August 18, 2006
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Abstract | References | Similar Articles | Additional Information

Abstract: We obtain an estimate of the ruin probability for the case where a company buys a risky asset (security) that is a semimartingale with absolutely continuous characteristics with respect to the Lebesgue measure. This result is applied to some long range dependence models, in particular to the fractional Brownian motion and mixed models.


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Additional Information

Yulia Mishura
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mathematics and Mechanics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: myus@univ.kiev.ua

DOI: http://dx.doi.org/10.1090/S0094-9000-06-00668-5
PII: S 0094-9000(06)00668-5
Received by editor(s): March 12, 2004
Published electronically: August 18, 2006
Additional Notes: Supported by grant PST.CLG.980408.
Article copyright: © Copyright 2006 American Mathematical Society