Isbn: 9781493909940 - stochastic optimization in insurance: a dynamic programming approach (springerbriefs in quantitative finance) (13 resultados)

Paperback. Condición: New.

Condición: New. In English.

Condición: New. pp. 158.

Paperback. Condición: Brand New. 146 pages. 8.75x6.00x0.50 inches. In Stock.

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.…

Taschenbuch. Condición: Neu. Stochastic Optimization in Insurance | A Dynamic Programming Approach | Pablo Azcue (u. a.) | Taschenbuch | SpringerBriefs in Quantitative Finance | x | Englisch | 2014 | Springer | EAN 9781493909940 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. …

Softcover. Condición: gut. 2014. Stochastic Optimization in Insurance In englischer Sprache. pages.

Condición: new. Questo è un articolo print on demand.

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.…

Condición: New. Print on Demand pp. 158 19 Illus. (2 Col.).

Condición: New. PRINT ON DEMAND pp. 158.

Kartoniert / Broschiert. 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.…

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. 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 KG, Sachsenplatz 4-6, 1201 Wien 156 pp. Englisch.…