Stochastic Control in Insurance
Seiten
2008
Springer London Ltd (Verlag)
978-1-84800-002-5 (ISBN)
Springer London Ltd (Verlag)
978-1-84800-002-5 (ISBN)
Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume.
Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance.
The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works.
Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance.
The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works.
Stochastic Control in Discrete Time.- Stochastic Control in Continuous Time.- Problems in Life Insurance.- Asymptotics of Controlled Risk Processes.- Appendices.- Stochastic Processes and Martingales.- Markov Processes and Generators.- Change of Measure Techniques.- Risk Theory.- The Black-Scholes Model.- Life Insurance.- References.- Index.- List of Principal Notation.
Reihe/Serie | Probability and Its Applications |
---|---|
Zusatzinfo | XVI, 258 p. |
Verlagsort | England |
Sprache | englisch |
Maße | 155 x 235 mm |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre | |
ISBN-10 | 1-84800-002-2 / 1848000022 |
ISBN-13 | 978-1-84800-002-5 / 9781848000025 |
Zustand | Neuware |
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