Optimal Stopping of a Risk Process when Claims are Covered immediately
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and which have been recognized by them. The capital of the company is invested at some interest rate, the size of claims increase at the given rate according to inﬂation process. The immediate payment of claims decreases the company investment by a given rate. The aim is to ﬁnd the stopping time which maximizes the capital of the company. The improvement to the known models by taking into account diﬀerent scheme of claims payment and the possibility of rejection of the request by the insurance company is made. It leads to essentially new risk process and the solution of optimal stopping probleln is diﬀerent.
|Date of creation:||2006|
|Date of revision:||2007|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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