Optimal stopping of a 2-vector risk process

Krzysztof Szajowski

Banach Center Publications (2010)

  • Volume: 90, Issue: 1, page 179-191
  • ISSN: 0137-6934

Abstract

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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 from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution of claims. Our goal is to find the best moment for changes which is the moment of maximal value of the capital assets. Based on the representation of stopping times for piecewise deterministic processes and the dynamic programming method the solution is derived for the finite and infinite horizon model.

How to cite

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Krzysztof Szajowski. "Optimal stopping of a 2-vector risk process." Banach Center Publications 90.1 (2010): 179-191. <http://eudml.org/doc/281869>.

@article{KrzysztofSzajowski2010,
abstract = {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 from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution of claims. Our goal is to find the best moment for changes which is the moment of maximal value of the capital assets. Based on the representation of stopping times for piecewise deterministic processes and the dynamic programming method the solution is derived for the finite and infinite horizon model.},
author = {Krzysztof Szajowski},
journal = {Banach Center Publications},
keywords = {optimal stopping; multiple stopping; marked point process; asset management},
language = {eng},
number = {1},
pages = {179-191},
title = {Optimal stopping of a 2-vector risk process},
url = {http://eudml.org/doc/281869},
volume = {90},
year = {2010},
}

TY - JOUR
AU - Krzysztof Szajowski
TI - Optimal stopping of a 2-vector risk process
JO - Banach Center Publications
PY - 2010
VL - 90
IS - 1
SP - 179
EP - 191
AB - 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 from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution of claims. Our goal is to find the best moment for changes which is the moment of maximal value of the capital assets. Based on the representation of stopping times for piecewise deterministic processes and the dynamic programming method the solution is derived for the finite and infinite horizon model.
LA - eng
KW - optimal stopping; multiple stopping; marked point process; asset management
UR - http://eudml.org/doc/281869
ER -

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