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Sinopsis
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.
"Sinopsis" puede pertenecer a otra edición de este libro.
Críticas
“This book mainly contains work done by the authors during the last few years in the area of optimal control of insurance surpluses. ... The book is very nicely written and gives an excellent overview of the topic. It is an ideal textbook for all researchers in insurance, in particular for those interested in optimisation problems.” (Hanspeter Schmidli, zbMATH 1308.91004, 2015)
Reseña del editor
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.
"Sobre este título" puede pertenecer a otra edición de este libro.
- EditorialSpringer
- Año de publicación2014
- ISBN 10 1493909940
- ISBN 13 9781493909940
- EncuadernaciónTapa blanda
- IdiomaInglés
- Número de páginas156
- Contacto del fabricanteno disponible
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Stochastic Optimization in Insurance
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Springer New York Jun 2014, 2014
ISBN 10: 1493909940
ISBN 13: 9781493909940
Nuevo
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Taschenbuch. Condición: 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. Nº de ref. del artículo: 9781493909940
Cantidad disponible: 2 disponibles
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Stochastic Optimization in Insurance: A Dynamic Programming Approach (SpringerBriefs in Quantitative Finance)
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Stochastic Optimization in Insurance
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Condición: 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. Nº de ref. del artículo: 4213978
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Stochastic Optimization in Insurance : A Dynamic Programming Approach
Publicado por
Springer New York, Springer US, 2014
ISBN 10: 1493909940
ISBN 13: 9781493909940
Nuevo
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Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: 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. Nº de ref. del artículo: 9781493909940
Cantidad disponible: 1 disponibles
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Stochastic Optimization in Insurance: A Dynamic Programming Approach
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Springer-Verlag New York Inc., 2014
ISBN 10: 1493909940
ISBN 13: 9781493909940
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Stochastic Optimization in Insurance : A Dynamic Programming Approach
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Stochastic Optimization in Insurance: A Dynamic Programming Approach
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Paperback. Condición: Brand New. 146 pages. 8.75x6.00x0.50 inches. In Stock. Nº de ref. del artículo: x-1493909940
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Stochastic Optimization in Insurance
Publicado por
Springer New York, Springer US Jun 2014, 2014
ISBN 10: 1493909940
ISBN 13: 9781493909940
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: 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. Nº de ref. del artículo: 9781493909940
Cantidad disponible: 2 disponibles
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Stochastic Optimization in Insurance
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Condición: New. pp. 158. Nº de ref. del artículo: 26142268508
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Stochastic Optimization in Insurance
Impresión bajo demandaLibrería: Majestic Books, Hounslow, Reino Unido
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Condición: New. Print on Demand pp. 158 19 Illus. (2 Col.). Nº de ref. del artículo: 135096195
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