Optimal Stopping and Utility in a Simple Model of Unemployment Insurance

Anquandah, JS and Bogachev, LV orcid.org/0000-0002-2365-2621 (2019) Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. Risks, 7 (3). 94. ISSN 2227-9091

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Authors/Creators:
Copyright, Publisher and Additional Information: (c) 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
Keywords: insurance; unemployment; optimal stopping; geometric Brownian motion; martingale; free boundary problem; American call option; utility
Dates:
  • Accepted: 18 August 2019
  • Published: 1 September 2019
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 30 Aug 2019 10:19
Last Modified: 03 Sep 2019 09:10
Status: Published
Publisher: MDPI
Identification Number: https://doi.org/10.3390/risks7030094

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