An optimal stopping problem in risk theory

Scandinavian Actuarial Journal

Volumn 1997, Issue 2, 1997, Pages 149-159

  Jensen, U ^a  

^a UNIVERSITY OF ULM   (Germany)

Author keywords

Markovian environment; Nonstationary risk process; Optimal stopping

Indexed keywords

EID: 84995299620     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461238.1997.10413984     Document Type: Article

References (8)

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5. Grandell, J. (1991). Aspects of risk theory. Springer, New York.
6. Grigelionis, B. (1993). Two-sided Lundberg inequalities in a Markovian environment. Liet. Matem. Rink. 1, 30-41.
7. Jensen, U. & Hsu, G. (1993). Optimal stopping by means of point process observations with applications in reliability. Mathematics of Operations Research 18, 645-657.
8. Schmidli, H. (1994). Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Insurance Math. Econom. 16, 135-149.