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Minimax risk (regret) strategy for one class of control problems under dynamic disturbances

โœ Scribed by D. A. Serkov


Book ID
110189875
Publisher
SP MAIK Nauka/Interperiodica
Year
2008
Tongue
English
Weight
453 KB
Volume
263
Category
Article
ISSN
0081-5438

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In this paper, the discounted penalty (Gerber-Shiu) functions for a risk model involving two independent classes of insurance risks under a threshold dividend strategy are developed. We also assume that the two claim number processes are independent Poisson and generalized Erlang (2) processes, resp