Stochastic Optimization in Insurance : A Dynamic Programming Approach
- 種類:
- 電子ブック
- 責任表示:
- by Pablo Azcue, Nora Muler
- 出版情報:
- New York, NY : Springer New York : Imprint: Springer, 2014
- 著者名:
- シリーズ名:
- SpringerBriefs in Quantitative Finance ;
- ISBN:
- 9781493909957 [1493909959]
- 注記:
- 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
- ローカル注記:
- 学内専用E-BOOKS (local access only)
類似資料:
|
Springer-Verlag Berlin Heidelberg |
Springer New York : Imprint: Springer |
|
Springer International Publishing : Imprint: Springer |
Springer Science+Business Media, LLC |
|
Springer Milan |
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電子ブック
Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulation
Springer Berlin Heidelberg : Imprint: Springer |
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Springer-Verlag Berlin Heidelberg |
Springer International Publishing : Imprint: Springer |
|
Springer Science+Business Media, LLC |
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|
Springer Science+Business Media, Inc. |
Springer Berlin Heidelberg : Imprint: Springer |