Optimal time to change premiums
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Publication:1006555
DOI10.1007/s00186-007-0182-9zbMath1156.91392arXivmath/0703828MaRDI QIDQ1006555
Erhan Bayraktar, H. Vincent Poor
Publication date: 25 March 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703828
optimal stopping; compound Poisson processes; detecting the change in the characteristics of the claim arrival process; insurance premiums
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J55: Local time and additive functionals
Related Items
On optimal stopping of risk processes with regime switching, Optimal reinsurance and investment with unobservable claim size and intensity
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