English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We consider a surplus process of drifted fractional Brownian motion with theHurst index $H>1/2$, which appears as a functional limit of drifted compoundPoisson risk models with correlated claims, and this is a kind ofrepresentation of a surplus with a long memory. Our interest is to constructconfidence intervals of the ruin probability of the surplus when the volatilityparameter is unknown. We will obtain the derivative of the ruin probabilityw.r.t. the volatility parameter via Malliavin calculus, and apply the deltamethod to identify the asymptotic distribution of an estimated ruinprobability.

Estimating the finite-time ruin probability of a surplus with a long memory via Malliavin calculus