In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...

SFB 649 Discussion Paper 2006-038 Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market Denis Belomestny* Grigori N. Milstein** * Weierstrass Institute for Applied Analysis and Stochastics, Berlin,...