An optimal stopping problem in risk theory

DOI10.1080/03461238.1997.10413984zbMATH Open0888.62104OpenAlexW4235316328MaRDI QIDQ4367769FDOQ4367769

Authors: Uwe Jensen 

Publication date: 2 December 1997

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1997.10413984

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zbMATH Keywords

optimal stoppingMarkovian environmentnonstationary risk process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stopping in statistics (62L15)

Cites Work

• Risk theory in a Markovian environment
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Ruin estimation for a general insurance risk model
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Optimal Stopping by Means of Point Process Observations with Applications in Reliability

Cited In (18)

• Optimal stopping of a risk process with disruption and interest rates
• Title not available (Why is that?)
• Optimal stopping of a risk process: model with interest rates
• Characterizations of optimal policies in a general stopping problem and stability estimating
• Optimal stopping in a shock model
• Optimal time to change premiums
• Portfolio problems stopping at first hitting time with application to default risk
• Title not available (Why is that?)
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• Stability estimating in optimal stopping problem
• Optimal stopping of a 2-vector risk process
• Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes
• Analysis and optimization of a nonstationary mode in a probabilistic reserves control model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Double optimal stopping of a risk process
• ON OPTIMAL STOPPING OF A DISCRETE TIME RISK PROCESS
• On optimal stopping of risk processes with regime switching

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