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Synopsis
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.
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- ÉditeurSpringer
- Date d'édition2014
- ISBN 10 1493909940
- ISBN 13 9781493909940
- ReliureBroché
- Langueanglais
- Nombre de pages156
- Coordonnées du fabricantnon disponible
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Stochastic Optimization in Insurance
Edité par
Springer New York, 2014
ISBN 10 : 1493909940
ISBN 13 : 9781493909940
Neuf
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Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A concise viscosity solution approach in insurance control problemsProvides existence and structure of optimal strategiesOffers systematic construction of the optimal value functionsThe main purpose of the book is to show how a v. N° de réf. du vendeur 4213978
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Stochastic Optimization in Insurance
Edité par
Springer New York Jun 2014, 2014
ISBN 10 : 1493909940
ISBN 13 : 9781493909940
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 156 pp. Englisch. N° de réf. du vendeur 9781493909940
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Stochastic Optimization in Insurance: A Dynamic Programming Approach (SpringerBriefs in Quantitative Finance)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Stochastic Optimization in Insurance : A Dynamic Programming Approach
Edité par
Springer New York, Springer US, 2014
ISBN 10 : 1493909940
ISBN 13 : 9781493909940
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N° de réf. du vendeur 9781493909940
Quantité disponible : 1 disponible(s)
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Stochastic Optimization in Insurance
Edité par
Springer New York, Springer US Jun 2014, 2014
ISBN 10 : 1493909940
ISBN 13 : 9781493909940
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 156 pp. Englisch. N° de réf. du vendeur 9781493909940
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Stochastic Optimization in Insurance : A Dynamic Programming Approach
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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PF. Etat : New. N° de réf. du vendeur 6666-IUK-9781493909940
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Stochastic Optimization in Insurance: A Dynamic Programming Approach
Edité par
Springer-Verlag New York Inc., 2014
ISBN 10 : 1493909940
ISBN 13 : 9781493909940
Neuf
Paperback / softback
Vendeur : THE SAINT BOOKSTORE, Southport, Royaume-Uni
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Paperback / softback. Etat : New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 262. N° de réf. du vendeur C9781493909940
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Stochastic Optimization in Insurance
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 158. N° de réf. du vendeur 26142268508
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Stochastic Optimization in Insurance: A Dynamic Programming Approach
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 146 pages. 8.75x6.00x0.50 inches. In Stock. N° de réf. du vendeur x-1493909940
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Stochastic Optimization in Insurance
impression à la demandeVendeur : Majestic Books, Hounslow, Royaume-Uni
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