Stochastic optimization in insurance: a dynamic programming approach
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY [u.a.]
Springer
2014
|
| Schriftenreihe: | SpringerBriefs in quantitative finance
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9781493909940 9781493909957 |
| DOI: | 10.1007/978-1-4939-0995-7 |
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Datensatz im Suchindex
| _version_ | 1804152339642187776 |
|---|---|
| adam_text | STOCHASTIC OPTIMIZATION IN INSURANCE
/ AZCUE, PABLO
: 2014
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
STOCHASTIC OPTIMIZATION IN INSURANCE
/ AZCUE, PABLO
: 2014
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Azcue, Pablo Muler, Nora |
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| author_role | aut aut |
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| author_variant | p a pa n m nm |
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| bvnumber | BV041955818 |
| classification_tum | MAT 000 |
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| ctrlnum | (OCoLC)882511004 (DE-599)DNB1052340180 |
| dewey-full | 510 |
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| dewey-ones | 510 - Mathematics |
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| dewey-search | 510 |
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4939-0995-7 |
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| spelling | Azcue, Pablo Verfasser aut Stochastic optimization in insurance a dynamic programming approach Pablo Azcue ; Nora Muler New York, NY [u.a.] Springer 2014 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier SpringerBriefs in quantitative finance Numerisches Verfahren (DE-588)4128130-5 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 s Stochastische Optimierung (DE-588)4057625-5 s Numerisches Verfahren (DE-588)4128130-5 s 1\p DE-604 Muler, Nora Verfasser aut https://doi.org/10.1007/978-1-4939-0995-7 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027398707&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027398707&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Azcue, Pablo Muler, Nora Stochastic optimization in insurance a dynamic programming approach Numerisches Verfahren (DE-588)4128130-5 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| subject_GND | (DE-588)4128130-5 (DE-588)4063194-1 (DE-588)4057625-5 |
| title | Stochastic optimization in insurance a dynamic programming approach |
| title_auth | Stochastic optimization in insurance a dynamic programming approach |
| title_exact_search | Stochastic optimization in insurance a dynamic programming approach |
| title_full | Stochastic optimization in insurance a dynamic programming approach Pablo Azcue ; Nora Muler |
| title_fullStr | Stochastic optimization in insurance a dynamic programming approach Pablo Azcue ; Nora Muler |
| title_full_unstemmed | Stochastic optimization in insurance a dynamic programming approach Pablo Azcue ; Nora Muler |
| title_short | Stochastic optimization in insurance |
| title_sort | stochastic optimization in insurance a dynamic programming approach |
| title_sub | a dynamic programming approach |
| topic | Numerisches Verfahren (DE-588)4128130-5 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| topic_facet | Numerisches Verfahren Versicherungsmathematik Stochastische Optimierung |
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