Stochastic Control in Insurance (Probability and Its Applications) - Tapa blanda

Libro 15 de 35: Probability and Its Applications

Schmidli, Hanspeter

 
9781848000025: Stochastic Control in Insurance (Probability and Its Applications)
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ISBN 10: 1848000022 ISBN 13: 9781848000025
Editorial: Springer, 2007

Sinopsis

Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli's brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.

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De la contraportada

Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been further developed.

This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance. Wherever possible, the proofs are probabilistic but in some cases well-established analytical methods are used.

The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works.

Readers should be familiar with basic probability theory and have a working knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge of measure theory will also be useful for following the proofs.

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Editorial
Springer
Año de publicación
2007
Idioma
Inglés
ISBN 10 
1848000022
ISBN 13 
9781848000025
Encuadernación
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Número de páginas
272
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania

Otras ediciones populares con el mismo título

9781848006768: Stochastic Control in Insurance

Edición Destacada

ISBN 10:  1848006764 ISBN 13:  9781848006768
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