Quickest drift change detection in Lévy-type force of mortality model
DOI10.1016/j.amc.2018.06.038zbMath1427.60068arXiv1801.00333OpenAlexW2962762760MaRDI QIDQ2335769
Michał Krawiec, Zbigniew Palmowski, Łukasz Płociniczak
Publication date: 15 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.00333
Lévy processesoptimal stoppingchange of measurelongevitylife tablesquickest detectionforce of mortality
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
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