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An optimal stopping problem in risk theory

✍ Scribed by U. Jensen

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
105 KB
Volume
22
Category
Article
ISSN
0167-6687

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✦ Synopsis

A general upper bound for the tail of the compound negative binomial distribution is constructed. By establishing a connection with the individual risk mode the upper bound is seen to be a (possibly degenerate) mixture of tails of gamma distribution. The bound is sharp in that it is an equality in the compound Pascal-exponential case. Two important special cases of the bound are derived. The issue of construction of an optimal upper bound is considered.

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This paper deals with an optimal stopping problem in dynamic fuzzy systems with fuzzy rewards, and shows that the optimal discounted fuzzy reward is characterized by a unique solution of a fuzzy relational equation. We define a fuzzy expectation with a density given by fuzzy goals and we estimate di