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- W4251902448 abstract "The risk reserve process of an insurance company within a deteriorating Markov-modulated environment is considered. The company invests its capital with interest rate α; the premiums and claims are increasing with rates β and γ. The problem of stopping the process at a random time which maximizes the expected net gain in order to calculate new premiums is investigated. A semimartingale representation of the risk reserve process yields, under certain conditions, an explicit solution of the problem." @default.
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- W4251902448 date "1998-03-01" @default.
- W4251902448 modified "2023-10-18" @default.
- W4251902448 title "Optimal Stopping of a Risk Reserve Process with Interest and Cost Rates" @default.
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- W4251902448 doi "https://doi.org/10.1017/s0021900200014728" @default.
- W4251902448 hasPublicationYear "1998" @default.
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