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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Optimization in Insurance: A Dynamic Programming Approach

Stochastic Optimization in Insurance: A Dynamic Programming Approach

Azcue, Pablo
Muler, Nora

Paperback

Series: Springerbriefs in Quantitative Finance

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 1493909940
ISBN13: 9781493909940
Publisher: Springer Nature
Published: Jun 20 2014
Pages: 146
Weight: 0.51
Height: 0.34 Width: 6.14 Depth: 9.21
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.

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