# Optimal stopping of a risk process

Elżbieta Ferenstein; Andrzej Sierociński

Applicationes Mathematicae (1997)

- Volume: 24, Issue: 3, page 335-342
- ISSN: 1233-7234

## Access Full Article

top## Abstract

top## How to cite

topFerenstein, Elżbieta, and Sierociński, Andrzej. "Optimal stopping of a risk process." Applicationes Mathematicae 24.3 (1997): 335-342. <http://eudml.org/doc/219175>.

@article{Ferenstein1997,

abstract = {Optimal stopping time problems for a risk process $U_t=u+ct-\sum _\{n=0\}^\{N(t)\}X_n$ where the number N(t) of losses up to time t is a general renewal process and the sequence of $X_i$’s represents successive losses are studied. N(t) and $X_i$’s are independent. Our goal is to maximize the expected return before the ruin time. The main results are closely related to those obtained by Boshuizen and Gouweleew [2].},

author = {Ferenstein, Elżbieta, Sierociński, Andrzej},

journal = {Applicationes Mathematicae},

keywords = {risk process; optimal stopping times},

language = {eng},

number = {3},

pages = {335-342},

title = {Optimal stopping of a risk process},

url = {http://eudml.org/doc/219175},

volume = {24},

year = {1997},

}

TY - JOUR

AU - Ferenstein, Elżbieta

AU - Sierociński, Andrzej

TI - Optimal stopping of a risk process

JO - Applicationes Mathematicae

PY - 1997

VL - 24

IS - 3

SP - 335

EP - 342

AB - Optimal stopping time problems for a risk process $U_t=u+ct-\sum _{n=0}^{N(t)}X_n$ where the number N(t) of losses up to time t is a general renewal process and the sequence of $X_i$’s represents successive losses are studied. N(t) and $X_i$’s are independent. Our goal is to maximize the expected return before the ruin time. The main results are closely related to those obtained by Boshuizen and Gouweleew [2].

LA - eng

KW - risk process; optimal stopping times

UR - http://eudml.org/doc/219175

ER -

## References

top- [1] F. A. Boshuizen and J. M. Gouweleew, A continuous-time job search model: general renewal processes, Report 9247/A, Econometric Institute, Erasmus University Rotterdam, 1992.
- [2] F. A. Boshuizen and J. M. Gouweleew, General optimal stopping theorems for semi-Markov processes, preprint, 1993.
- [3] M. H. A. Davis, Markov Models and Optimization, Chapman & Hall, London, 1993.
- [4] M. H. A. Davis, The representation of martingales of jump processes, SIAM J. Control Optim. 14 (1976), 623-638. Zbl0337.60048
- [5] E. Z. Ferenstein, A variation of Dynkin's stopping game, Math. Japon. 38 (1993), 371-379. Zbl0819.60049
- [6] E. Z. Ferenstein and E. G. Enns, A continuous-time Dynkin's stopping game: renewal processes case, to appear. Zbl0633.90106
- [7] R. S. Liptser and A. N. Shiryaev, Statistics of Stochastic Processes, Nauka, Moscow, 1974 (in Russian). Zbl0556.60003