An optimal stopping problem in risk theory

DOI10.1080/03461238.1997.10413984zbMath0888.62104OpenAlexW4235316328MaRDI QIDQ4367769

Uwe Jensen

Publication date: 2 December 1997

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1997.10413984

zbMATH Keywords

optimal stoppingMarkovian environmentnonstationary risk process

Mathematics Subject Classification ID

Related Items (6)

Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Unnamed Item ⋮ On optimal stopping of risk processes with regime switching ⋮ Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes ⋮ Double optimal stopping of a risk process ⋮ CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING

Cites Work

• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Optimal Stopping by Means of Point Process Observations with Applications in Reliability
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Ruin estimation for a general insurance risk model
• Risk theory in a Markovian environment

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