Stochastic Control in Insurance

Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been fu...

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Bibliographic Details
Main Author: Schmidli, Hanspeter (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: London : Springer London, 2008.
Series:Probability and Its Applications,
Subjects:
Online Access:Full Text via HEAL-Link
Table of Contents:
  • Stochastic Control in Discrete Time
  • Stochastic Control in Continuous Time
  • Problems in Life Insurance
  • Asymptotics of Controlled Risk Processes
  • Appendices
  • Stochastic Processes and Martingales
  • Markov Processes and Generators
  • Change of Measure Techniques
  • Risk Theory
  • The Black-Scholes Model
  • Life Insurance
  • References
  • Index
  • List of Principal Notation.