Stochastic Optimization in Insurance A Dynamic Programming Approach /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Azcue, Pablo (Autor), Muler, Nora (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2014.
Edición:1st ed. 2014.
Colección:SpringerBriefs in Quantitative Finance,
Temas:
Social sciences-Mathematics.
Probabilities.
Financial services industry.
Mathematics in Business, Economics and Finance.
Probability Theory.
Financial Services.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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