Optimal stopping of a risk process

Elżbieta Ferenstein; Andrzej Sierociński

ArticleOriginal scientific text

Title

Optimal stopping of a risk process

Authors ¹, ¹

Affiliations

Institute of Mathematics, Warsaw University of Technology, Pl. Politechniki 1, 00-661 Warszawa, Poland

Abstract

Optimal stopping time problems for a risk process

U_{t} = u + c t - \sum_{n = 0}^{N (t)} X_{n}

where the number N(t) of losses up to time t is a general renewal process and the sequence of

X_{i}

's represents successive losses are studied. N(t) and

X_{i}

's are independent. Our goal is to maximize the expected return before the ruin time. The main results are closely related to those obtained by Boshuizen and Gouweleew [2].

Keywords

ENG

risk process, optimal stopping times

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R. S. Liptser and A. N. Shiryaev, Statistics of Stochastic Processes, Nauka, Moscow, 1974 (in Russian).

Title

Optimal stopping of a risk process

Affiliations

Abstract

Keywords

Bibliography