Optimal stopping of a 2-vector risk process

• Autorzy: Krzysztof Szajowski
• Języki publikacji: EN

Abstrakty

EN

The following problem in risk theory is considered. An insurance company, endowed with an initial capital a > 0, receives insurance premiums and pays out successive claims from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution of claims. Our goal is to find the best moment for changes which is the moment of maximal value of the capital assets. Based on the representation of stopping times for piecewise deterministic processes and the dynamic programming method the solution is derived for the finite and infinite horizon model.

Kategorie tematyczne

• 60K99: None of the above, but in this section
• 60G40: Stopping times; optimal stopping problems; gambling theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2010
• Tom: 90
• Numer: 1
• Strony: 179-191

Daty

wydano

2010

Twórcy

autor

Krzysztof Szajowski

• Institute of Mathematics and Computer Science, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, Wrocław, Poland
• Institute of Mathematics, Polish Academy of Sciences

Identyfikatory

DOI

10.4064/bc90-0-12