Optimal stopping of a risk process
نویسندگان
چکیده
منابع مشابه
Double optimal stopping of a risk process
The following problem in risk theory is considered. An insurance company, endowed with an initial capital a . 0, receives insurance premiums and pays out successive claims. The losses occur according to renewal process. At any moment, the company may broaden or narrow down the offer, what entails the change of the parameters. This change concerns the rate of income, the intensity of renewal pro...
متن کاملOptimal stopping of 2-vector risk process
Let us consider the insurance company having an initial capital a > 0 which insures two kind of risks. The i-th risk makes the stream of insurance premiums with constant rate ci and pays out successive claims, which are representing by i.i.d. random variables Xi,1, Xi,2, . . . with cumulative distribution function Hi. The losses related to the i-th risk occur according to the renewal process {N...
متن کاملOptimal Stopping Problems for the Maximum Process
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متن کاملA Capped Optimal Stopping Problem for the Maximum Process
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Lévy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem (Gapeev in J. Appl. Probab. 44:713–731, 2007; Guo and Shepp in J. Appl. Probab. 38:647–658, 2001; Pedersen in J. Appl. Probab. 37:972–983, 2000), which has its origins in math...
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We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem in which the decision maker uses a dynamic convex risk measure to evaluate future rewards.
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 1997
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-24-3-335-342