Stochastic Optimization in Insurance: A Dynamic Programming Approach - Couverture souple

Livre 2 sur 11: SpringerBriefs in Quantitative Finance

Azcue, Pablo

 
9781493909940: Stochastic Optimization in Insurance: A Dynamic Programming Approach
Couverture souple
ISBN 10 : 1493909940 ISBN 13 : 9781493909940
Editeur : Springer, 2014

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2014
Langue
anglais
ISBN 10 
1493909940
ISBN 13 
9781493909940
Reliure
Broché
Nombre de pages
156
Coordonnées du fabricant
non disponible
Personne responsable
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