Browsing FGV EMAp - Escola de Matemática Aplicada by Author "Sofronov, Georgy"
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Optimal exercise strategies for operational risk insurance via multiple stopping times
Targino, Rodrigo dos Santos; Peters, Gareth W.; Sofronov, Georgy; Shevchenko, Pavel V.
2016-04-12In this paper we demonstrate how to develop analytic closed form solutions to optimal multiple stopping time problems arising in the setting in which the value function acts on a compound process that is modified by the ...


