Optimal stopping of a risk process
Volume 24 / 1997
Applicationes Mathematicae 24 (1997), 335-342
DOI: 10.4064/am-24-3-335-342
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].
