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.
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