منابع مشابه
Double optimal stopping of a risk process
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. The losses occur according to renewal process. At any moment, the company may broaden or narrow down the offer, what entails the change of the parameters. This change concerns the rate of income, the intensity of renewal pro...
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In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller processes. This generalizes the result of Beibel and Lerche [Statist. Sinica 7 (1997) 93–108] and [Teor. Veroyatn. Primen. 45 (2000) 657–669] and Irles and Pa...
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where the horizon T (the upper bound for τ and σ above) may be either finite or infinite (it is assumed that G1(XT ) = G2(XT ) if T is finite and lim inft→∞G2(Xt) ≤ lim supt→∞G1(Xt) if T is infinite). If X is right-continuous, then the Stackelberg equilibrium holds, in the sense that V ∗(x) = V∗(x) for all x with V := V ∗ = V∗ defining a measurable function. If X is right-continuous and left-co...
متن کاملOptimal stopping of 2-vector risk process
Let us consider the insurance company having an initial capital a > 0 which insures two kind of risks. The i-th risk makes the stream of insurance premiums with constant rate ci and pays out successive claims, which are representing by i.i.d. random variables Xi,1, Xi,2, . . . with cumulative distribution function Hi. The losses related to the i-th risk occur according to the renewal process {N...
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Attention is drawn to the fact that copyright of this thesis rests with its author. This copy of the thesis has been supplied on the condition that anyone who consults it is understood to recognise that its copyright rests with its author and that no quotation from the thesis and no information derived from it may be published without the prior written consent of the author. This thesis may be ...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1968
ISSN: 0003-4851
DOI: 10.1214/aoms/1177698259