SpringerBriefs in Quantitative Finance

Stochastic Optimization in Insurance

A Dynamic Programming Approach

Authors: Azcue, Pablo, Muler, Nora

Free Preview
  • A concise viscosity solution approach in insurance control problems
  • Provides existence and structure of optimal strategies
  • Offers systematic construction of the optimal value functions
see more benefits

Buy this book

eBook 46,00 €
price for Spain (gross)
  • ISBN 978-1-4939-0995-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 57,19 €
price for Spain (gross)
  • ISBN 978-1-4939-0994-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.

Reviews

“This book mainly contains work done by the authors during the last few years in the area of optimal control of insurance surpluses. … The book is very nicely written and gives an excellent overview of the topic. It is an ideal textbook for all researchers in insurance, in particular for those interested in optimisation problems.” (Hanspeter Schmidli, zbMATH 1308.91004, 2015)


Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook 46,00 €
price for Spain (gross)
  • ISBN 978-1-4939-0995-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 57,19 €
price for Spain (gross)
  • ISBN 978-1-4939-0994-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Stochastic Optimization in Insurance
Book Subtitle
A Dynamic Programming Approach
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2014
Publisher
Springer-Verlag New York
Copyright Holder
The Author(s)
eBook ISBN
978-1-4939-0995-7
DOI
10.1007/978-1-4939-0995-7
Softcover ISBN
978-1-4939-0994-0
Series ISSN
2192-7006
Edition Number
1
Number of Pages
X, 146
Number of Illustrations
17 b/w illustrations, 2 illustrations in colour
Topics