Stochastic Optimization in Insurance
By:Pablo Azcue,Nora Muler
Published on 2014-06-19 by Springer
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.
This Book was ranked at 38 by Google Books for keyword Insurance.
Book ID of Stochastic Optimization in Insurance's Books is kpEkBAAAQBAJ, Book which was written byPablo Azcue,Nora Mulerhave ETAG "Q3C1cxQr/Mo"
Book which was published by Springer since 2014-06-19 have ISBNs, ISBN 13 Code is 9781493909957 and ISBN 10 Code is 1493909959
Reading Mode in Text Status is true and Reading Mode in Image Status is true
Book which have "146 Pages" is Printed at BOOK under CategoryMathematics
This Book was rated by 1 Raters and have average rate at "5.0"
This eBook Maturity (Adult Book) status is NOT_MATURE
Book was written in en
eBook Version Availability Status at PDF is true and in ePub is true
0 Response to "Stochastic Optimization in Insurance"
Post a Comment