Insurance control for classical risk model with fractional Brownian motion perturbation

H.Y. Zhang, L.H. Bai and A.M. Zhou

Statistics & Probability Letters, 2009, vol. 79, issue 4, 473-480

Abstract: 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.

Date: 2009
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