Optimal exercise strategies for operational risk insurance via multiple stopping times

DOI10.1007/S11009-016-9493-8MaRDI QIDQ2397959zbMATH OpenOpenAlexWikidataFDO

Authors Gareth W. Peters, Georgy Sofronov, Pavel V. Shevchenko, Rodrigo S. Targino

Publication date 14 August 2017

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11009-016-9493-8

zbMATH Keywords

insuranceoperational riskmultiple stopping rules

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3635287 (Why is no real title available?)
• scientific article; zbMATH DE number 3086058 (Why is no real title available?)
• scientific article; zbMATH DE number 3096701 (Why is no real title available?)
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• An optimal sequential procedure for a multiple selling problem with independent observations
• Dual representations for general multiple stopping problems
• Equilibrium in a Reinsurance Market
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• Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Operational risk modelling and management.
• Statistical Properties of Inverse Gaussian Distributions. I
• Statistical properties of the generalized inverse Gaussian distribution
• The Inverse Gaussian Distribution as a Lifetime Model
• Valuation of Commodity-Based Swing Options
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
• An optimal double stopping rule for a buying-selling problem
• A multiple optimal stopping rule for a buying-selling problem with a deterministic trend

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