Stochastic Optimization in Insurance

A Dynamic Programming Approach

Nonfiction, Science & Nature, Mathematics, Applied, Statistics, Business & Finance
Cover of the book Stochastic Optimization in Insurance by Pablo Azcue, Nora Muler, Springer New York
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Author: Pablo Azcue, Nora Muler ISBN: 9781493909957
Publisher: Springer New York Publication: June 19, 2014
Imprint: Springer Language: English
Author: Pablo Azcue, Nora Muler
ISBN: 9781493909957
Publisher: Springer New York
Publication: June 19, 2014
Imprint: Springer
Language: English

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.

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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.

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