Optimal stopping time problems for a risk process where the number N(t) of losses up to time t is a general renewal process and the sequence of ’s represents successive losses are studied. N(t) and ’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].
@article{bwmeta1.element.bwnjournal-article-zmv24i3p335bwm,
author = {El\.zbieta Ferenstein and Andrzej Sieroci\'nski},
title = {Optimal stopping of a risk process},
journal = {Applicationes Mathematicae},
volume = {24},
year = {1997},
pages = {335-342},
zbl = {1002.60536},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-zmv24i3p335bwm}
}
Ferenstein, Elżbieta; Sierociński, Andrzej. Optimal stopping of a risk process. Applicationes Mathematicae, Tome 24 (1997) pp. 335-342. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv24i3p335bwm/
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