Holdings: Stochastic optimization in insurance

Stochastic optimization in insurance: a dynamic programming approach

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Bibliographic Details
Main Authors:	Azcue, Pablo (Author), Muler, Nora (Author)
Format:	Electronic eBook
Language:	English
Published:	New York, NY [u.a.] Springer 2014
Series:	SpringerBriefs in quantitative finance
Subjects:	Numerisches Verfahren Versicherungsmathematik Stochastische Optimierung
Online Access:	BTU01 FRO01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract
Physical Description:	1 Online-Ressource
ISBN:	9781493909940 9781493909957
DOI:	10.1007/978-1-4939-0995-7

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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.
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author	Azcue, Pablo Muler, Nora
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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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work_keys_str_mv	AT azcuepablo stochasticoptimizationininsuranceadynamicprogrammingapproach AT mulernora stochasticoptimizationininsuranceadynamicprogrammingapproach

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