Optimal time to change premiums

DOI10.1007/s00186-007-0182-9zbMath1156.91392arXivmath/0703828OpenAlexW2008218664MaRDI QIDQ1006555

H. Vincent Poor, Erhan Bayraktar

Publication date: 25 March 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703828

zbMATH Keywords

optimal stoppingcompound Poisson processesdetecting the change in the characteristics of the claim arrival processinsurance premiums

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Local time and additive functionals (60J55)

Related Items

On optimal stopping of risk processes with regime switching ⋮ Optimal reinsurance and investment with unobservable claim size and intensity

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