Geodesic
Optimal stopping of a risk process
Applicationes Mathematicae, Tome 24 (1997) no. 3, pp. 335-342 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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Optimal stopping time problems for a risk process $U_t=u+ct-\sum_{n=0}^{N(t)}X_n$ where the number N(t) of losses up to time t is a general renewal process and the sequence of $X_i$'s represents successive losses are studied. N(t) and $X_i$'s are independent. Our goal is to maximize the expected return before the ruin time. The main results are closely related to those obtained by Boshuizen and Gouweleew [2].
DOI : 10.4064/am-24-3-335-342
Keywords: risk process, optimal stopping times

Elżbieta Ferenstein 1 ; Andrzej Sierociński 1

1 
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Elżbieta Ferenstein; Andrzej Sierociński. Optimal stopping of a risk process. Applicationes Mathematicae, Tome 24 (1997) no. 3, pp. 335-342. doi: 10.4064/am-24-3-335-342

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