### RUIN PROBABILITY FOR GENERALIZED φ-sub-Gaussian FRACTIONAL BROWNIAN MOTION

**ROSTYSLAV YAMNENKO**

*Theory of Stochastic Processes*

*Vol. 12 (28), no. 3–4, 2006, pp. 261–275*

In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian motion (FBM). Such random process has the same covariation function as FBM but its trajectories belong to the space of φ-sub-Gaussian random variables (i.e. not necessarily Gaussian). For this risk process we obtain estimate of the ruin probability.

Full version