Optimal stopping of a risk reserve process with interest and cost rates

Journal of Applied Probability

Volumn 35, Issue 1, 1998, Pages 115-123

  Schottl A ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Interest rates; Markov modulation; Optimal stopping; Risk reserve process; Smooth semimartingale representation

Indexed keywords

EID: 0040676817     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200014728     Document Type: Article

References (6)

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3. EMBRECHTS, P. AND SCHMIDLI, H. (1994). Ruin estimation for a general insurance risk model. Adv. Appl. Prob. 26, 404-422.
4. GRIGELIONIS, B. (1993). Two-sided Lundbery inequalities in a Markovian environment. Liet. Matem. Rink. 1, 30-41.
5. JENSEN, U. AND HSU, G. (1993). Optimal stopping by means of point process observations with applications in reliability. Math. Operat. Res. 18.3, 645-657.
6. JENSEN, U. (1997). An optimal stopping problem in risk theory. Scand. Acturial J. 2, 149-159.