Stochastic Optimization in Insurance

Language: English

Published by Springer, Springer Jun 2014, 2014

1493909940 / 9781493909940

Series: Book 2 of 11 - SpringerBriefs in Quantitative Finance

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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000

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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.…

Seller Inventory # 9781493909940

Title
Stochastic Optimization in Insurance
Author
Pablo Azcue
Publisher
Springer, Springer Jun 2014
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1493909940
ISBN 13
9781493909940
Item weight
276 grams
Dimensions
235x155x9 mm
Series
Book 2 of 11: SpringerBriefs in Quantitative Finance

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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AbeBooks seller since January 23, 2017

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