ON OPTIMAL STOPPING OF A DISCRETE TIME RISK PROCESS
Let \(U_n=u+cn-\sum_{i=0}^n X_i\) be a discrete time risk process. The distribution of the claim process depends on a random time \(\theta\): Let \(\theta, X_1, X_2,\dots\) have distributions \[ p_0=P(\theta=0)=\pi, \qquad p_n=P(\theta=1)=(1-\pi)(1-p)^{n-1}p, \] where \(\pi, p\) are fixed and known and \(X_n=X^i_n\), \(i=1,2\), for \(\theta >n\) and \(\theta \leq n\), respectively. Existence of an optimal stopping time is proved for the problem \(E(U(\tau))=\max!_{\tau \in T},\) where \(T\) is the set of stopping times w.r.t. the filtration generated by \(U_n\).
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