References
- Azuce , P. and Roberts , N. 2005 . Optimal reinsurance and dividend distribution policies in the Cramér–Lundberg model . Mathematical Finance , 15 : 261 – 308 .
- Boshuizen , F.A. and Gouweleeuw , J.M. 1993 . General optimal stopping theorems for semi-Markov processes . Advances in Applied Probability , 4 : 825 – 846 .
- Brémaud , P. 1981 . Point Processes and Queues, Martingale Dynamics , New York : Springer .
- Carmona , R. and Touzi , N. 2003 . Optimal multiple stopping and valuation of swing options . Mathematical Finance , : 32 http://www.orfe.princeton.edu/rcarmona/download/fe/swing2.pdf.
- Davis , M.H.A. 1993 . Markov Models and Optimization , New York : Chapman and Hall .
- Eidukjavicjus , R. 1979 . Optimalna ostanovka markovskoj cepi dvumia momentami ostanovki . Litovskii Matematicheskii Sbornik , 13 : 181 – 183 .
- Feng , Y. and Xiao , B. 2000 . Optimal policies of yield management with multiple predetermined prices . Operations Research , 48 ( 2 ) : 332 – 343 .
- Ferenstein , E.Z. and Sierociński , A. 1997 . Optimal stopping of a risk process . Applicationes Mathematicae , 24 ( 3 ) : 335 – 342 .
- Gikhman , I.I. and Skorokhod , A.V. 1973 . The Theory of Stochastic Processes. II: Translated from the Russian by S. Kotz. Reprint of the First Edition 1973 , Vol. vii , 441 Berlin : Springer .
- Haggstrom , G.W. 1967 . Optimal sequential procedures when more then one stop is required . The Annals of Mathematical Statistics , 38 : 1618 – 1626 .
- Jensen , U. 1997 . An optimal stopping problem in risk theory . Scandinavian Actuarial Journal , 2 : 149 – 159 .
- Karpowicz, A. and Szajowski, K., 2005, Double optimal stopping times and optimal pricing model, Preprint, XN I-18/05/P-047, pp. 14.
- Muciek , B. 2002 . Optimal stopping of a risk process: model with interest rates . Journal of Applied Probability , 39 : 261 – 270 .
- Muciek, B. and Szajowski, K., 2003, Optimal stopping of a risk process when claims are covered immediately, Preprint, http://neyman.im.pwr.wroc.pl/szajow/publ2002/pdf/OSRisk8i2006.pdf , submitted, pp. 12
- Nikolaev , A.F. 1998 . On a formulation of the multiple “disorder” problem . Theory of Probability and Its Applications , 43 ( 2 ) : 293 – 297 .
- Nikolaev , M.L. 1979 . Obobshchennyje posledovatelnyje procedury . Litovskii Matematicheskii Sbornik , 191 : 35 – 44 .
- Nikolaev , M.L. 1998 . Optimal multi-stopping rules . Obozrenie Prikladnoj i Promyshlennoj Matematiki , 5 ( 2 ) : 309 – 348 .
- Rolski , T. , Schmidli , H. , Schimdt , V. and Teugels , J. 1998 . Stochastic Processes for Insurance and Finance , Chichester : John Wiley & Sons .
- Schöttl , A. 1998 . Optimal stopping of a risk reserve process with interest and cost rates . Journal of Applied Probability , 35 : 115 – 123 .
- Stadje , W. 1985 . On multiple stopping rules . Optimization , 16 : 401 – 418 .
- Szajowski , K. 1996 . A two-disorder detection problem . Applicationes Mathematicae , 24 ( 2 ) : 231 – 241 .