| 书目名称 | Stochastic Optimization in Insurance |
| 副标题 | A Dynamic Programmin |
| 编辑 | Pablo Azcue,Nora Muler |
| 视频video | |
| 概述 | A concise viscosity solution approach in insurance control problems.Provides existence and structure of optimal strategies.Offers systematic construction of the optimal value functions.Includes supple |
| 丛书名称 | SpringerBriefs in Quantitative Finance |
| 图书封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2014 |
| 关键词 | Band strategies; Classical collective risk model; Dynamic programming principle; HJB equation; Ruin prob |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-1-4939-0995-7 |
| isbn_softcover | 978-1-4939-0994-0 |
| isbn_ebook | 978-1-4939-0995-7Series ISSN 2192-7006 Series E-ISSN 2192-7014 |
| issn_series | 2192-7006 |
| copyright | The Author(s) 2014 |
发表于 2025-3-21 17:36:20
