Stochastic Optimization in Insurance A Dynamic Programming Approach /

• Main Authors: Azcue, Pablo (Author), Muler, Nora (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2014.
• Series: SpringerBriefs in Quantitative Finance,
• Subjects: 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...

Table of Contents:

• 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.