Stochastic Optimization in Insurance A Dynamic Programming Approach /

• Κύριοι συγγραφείς: Azcue, Pablo (Συγγραφέας), Muler, Nora (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York : Imprint: Springer, 2014.
• Σειρά: SpringerBriefs in Quantitative Finance,
• Θέματα: Mathematics.; Insurance.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.

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 possibilit...

Πίνακας περιεχομένων:

• Stability Criteria for Insurance Companies
• Reinsurance and Investment
• Viscosity Solutions
• Characterization of Value Functions
• Optimal Strategies
• Numerical Examples
• References
• Appendix A. Probability Theory and Stochastic Processes
• Index.