Displaying similar documents to “A note on the Poisson disorder problem”

Optimal stopping of a 2-vector risk process

Krzysztof Szajowski (2010)

Banach Center Publications

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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...

On randomized stopping times.

Concepción Arenas Solá (1990)

Trabajos de Estadística

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In this note we give a proof of the fact that the extremal elements of the set of randomized stopping times are exactly the stopping times.