On optimal stopping of risk processes with regime switching

• Autorzy: Ferenstein E. , Pasternak Winiarski A.
• Języki publikacji: EN

Abstrakty

EN

In the paper we solve a problem of optimal stopping of a risk process in two alternative settings. We assume that the main characteristics of the risk process change according to unobservable random variable. In the first model we assume that the post-disorder distributions are not known a'priori and are randomly chosen from a finite set of admissible distributions. The second model concentrates on a situation when more than one disorder is possible. For both models optimal stopping rules with respect to given utility function are constructed using dynamic programming methodology.

Słowa kluczowe

EN

risk process; optimal stopping; dynamic programming; regime switching; disorder problem

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2012
• Tom: Vol. 45, nr 2
• Strony: 435--454
• Opis fizyczny: Bibliogr. 25 poz.

Twórcy

autor

Ferenstein E.

autor

Pasternak Winiarski A.

• Faculty Of Mathematics And Information Science Warsaw University Of Technology Pl. Politechniki 1 00-661 Warszawa, Poland,

Bibliografia

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