Téléchargez le livre : Stochastic Optimization in Insurance

Stochastic Optimization in Insurance

A Dynamic Programming Approach
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Paru le : 2014-06-19

The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibilit...
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Description du livre


The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them.
The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.

À propos

Auteur
Pablo Azcue , Nora Muler
Éditeur
Springer
Collection
SpringerBriefs in Quantitative Finance
Parution
2014-06-19
Pages
146 pages
EAN papier
9781493909940

Auteur(s) du livre


Defaut-Illustration Pablo Azcue
Defaut-Illustration Nora Muler

Caractéristiques détaillées - droits

EAN EPUB
9781493909957
Prix
52,99 €
Nombre pages copiables
1
Nombre pages imprimables
14
Taille du fichier
2570 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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