Double optimal stopping of a risk process

DOI10.1080/17442500601084204MaRDI QIDQ3429338zbMATHOpenAlexFDO

Authors Anna Karpowicz, Krzysztof J. Szajowski

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500601084204

zbMATH Keywords

dynamic programmingoptimal stoppingsemi-Markov processrisk reserve process

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• An optimal stopping problem in risk theory
• General optimal stopping theorems for semi-Markov processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On a Formulation of the Multiple"Disorder" Problem
• On multiple stopping bales
• Optimal Sequential Procedures when More Than one Stop is Required
• Optimal Stopping of a Risk Reserve Process with Interest and Cost Rates
• Optimal stopping of a risk process: model with interest rates

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(14)

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• Optimal exercise strategies for operational risk insurance via multiple stopping times
• An optimal double stopping rule for a buying-selling problem
• Double optimal stopping times and dynamic pricing problem: description of the mathematical model
• Optimal stopping of a risk process: model with interest rates
• ON OPTIMAL STOPPING OF A DISCRETE TIME RISK PROCESS
• Double Optimal Stopping in the Fishing Problem
• Optimal timing of business conversion for solvency improvement
• Optimal stopping time on semi-Markov processes with finite horizon
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