Some extensions of optimal stopping with financial applications

DOI10.26493/1855-3974.1699.74EzbMATH Open1418.60034OpenAlexW2915393391WikidataQ128343323 ScholiaQ128343323MaRDI QIDQ5225052FDOQ5225052

Authors: Mihael Perman, Ana Zalokar 

Publication date: 25 July 2019

Published in: Ars Mathematica Contemporanea (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.26493/1855-3974.1699.74e

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zbMATH Keywords

equity-linked life insurance with guaranteesoptimal stopping for Markov chains

Mathematics Subject Classification ID

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

Cites Work

• Hedging Equity-Linked Life Insurance Contracts
• On the (in-)dependence between financial and actuarial risks

Cited In (8)

• Stopping Markov processes and first path on graphs
• Title not available (Why is that?)
• Excursions height- and length-related stopping times, and application to finance
• Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
• Log-optimal and numéraire portfolios for market models stopped at a random time
• Irreversible decisions under uncertainty. Optimal stopping made easy
• An optimal stopping problem on tree
• From Disorder Detection to Optimal Stopping and Mathematical Finance

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