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Stochastic Optimization in Insurance : A Dynamic Programming Approach / by Pablo Azcue, Nora Muler
(SpringerBriefs in Quantitative Finance. ISSN:21927014)
版 | 1st ed. 2014. |
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出版者 | (New York, NY : Springer New York : Imprint: Springer) |
出版年 | 2014 |
本文言語 | 英語 |
大きさ | X, 146 p. 19 illus., 2 illus. in color : online resource |
著者標目 | *Azcue, Pablo author Muler, Nora author SpringerLink (Online service) |
件 名 | LCSH:Social sciences -- Mathematics
全ての件名で検索
LCSH:Probabilities LCSH:Financial services industry FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Financial Services |
一般注記 | 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 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 HTTP:URL=https://doi.org/10.1007/978-1-4939-0995-7 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9781493909957 |
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EB00231916 |
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