Stochastic Control in Insurance

1. Auflage 2008
ISBN: 978-1-84800-002-5
Verlag: Springer

Buch, Englisch, 258 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 417 g

Reihe: Probability and Its Applications

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.

Zielgruppe

Research

Autoren/Hrsg.

Schmidli, Hanspeter

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Mathematik Allgemein
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Mathematik | Informatik Mathematik Operations Research Spieltheorie
• Technische Wissenschaften Technik Allgemein Mess- und Automatisierungstechnik
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing

Inhaltsverzeichnis

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.