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Author : Jukka Rantala
Publisher :
ISBN 13 : 9789514415265
Total Pages : 157 pages
Book Rating : 4.64/5 ( download)
Download or read book An Application of Stochastic Control Theory to Insurance Business written by Jukka Rantala and published by . This book was released on 1984 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hanspeter Schmidli
Publisher : Springer Science & Business Media
ISBN 13 : 1848000030
Total Pages : 263 pages
Book Rating : 4.32/5 ( download)
Download or read book Stochastic Control in Insurance written by Hanspeter Schmidli and published by Springer Science & Business Media. This book was released on 2007-11-20 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli’s brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.
Author : Vsevolod Malinovskii
Publisher : World Scientific
ISBN 13 : 9811204675
Total Pages : 355 pages
Book Rating : 4.78/5 ( download)
Download or read book Insurance Planning Models: Price Competition And Regulation Of Financial Stability written by Vsevolod Malinovskii and published by World Scientific. This book was released on 2021-08-13 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Insurance Planning Models: Price Competition and Regulation of Financial Stability is an exciting new book that takes readers inside the secrets of internal organization of the modern general insurance business. Many people know that it is subject to intensive state regulation, whereby the purpose is to maintain long-term efficiency, honesty, security and stability in the interest and for the protection of policyholders. However, except for knowing that the insurance system is regulated by intensive calculations, that the insurance companies have different positions on the market, that they pursue different goals and even compete with each other, and that one of the tools of this competition is the policy price, not so many people know how to achieve these deserving goals.In developing quantitative recommendations and directives to competing insurers, regulators rely on certain models. In the 1900s, such models were proposed. They were useful for an insight into the probabilistic nature of the insurance process, but not for direct application to practically meaningful problems of insurance regulation. This book is your guide to the rigorously constructed long-term dynamic models with the aim to improve regulatory methods and develop quantitative recommendations using both analytical calculations and computer simulation. It is addressed to a wide range of readers, including interested policyholders, economists whose interest lies in insurance management and regulation, and mathematicians wishing to expand the scope of application for their knowledge.This book is devoted to certain issues that are either not sufficiently presented, or even absent in the literature. It is an attempt to penetrate from the standpoint of mathematical modeling into the goals which face insurance regulators and contending company managers for preventing insolvencies, or even crises pertinent to badly regulated complex reflexive systems.It offers rigorous probabilistic models of long-term insurance business based on the laws of mass phenomena. They mitigate deficiencies of oversimplified risk models. The book presents advances in probabilistic techniques designed to seek quantitative, rather than qualitative, directives and recommendations regarding safe control aiming to achieve different business goals.
Author : J. David Cummins
Publisher : Springer Science & Business Media
ISBN 13 : 9400925069
Total Pages : 380 pages
Book Rating : 4.69/5 ( download)
Download or read book Financial Models of Insurance Solvency written by J. David Cummins and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: The First International Conference on Insurance Solvency was held at the Wharton School, University of Pennsylvania from June 18th through June 20th, 1986. The conference was the inaugural event for Wharton's Center for Research on Risk and Insurance. In atten dance were thirty-nine representatives from Australia, Canada, France, Germany, Israel, the United Kingdom, and the United States. The papers presented at the Conference are published in two volumes, this book and a companion volume, Classical Insurance Solvency Theory, J. D. Cummins and R. A. Derrig, eds. (Norwell, MA: Kluwer Academic Publishers, 1988). The first volume presented two papers reflecting important advances in actuarial solvency theory. The current volume goes beyond the actuarial approach to encom pass papers applying the insights and techniques of financial economics. The papers fall into two groups. The first group con sists of papers that adopt an essentially actuarial or statistical ap proach to solvency modelling. These papers represent methodology advances over prior efforts at operational modelling of insurance companies. The emphasis is on cash flow analysis and many of the models incorporate investment income, inflation, taxation, and other economic variables. The papers in second group bring financial economics to bear on various aspects of solvency analysis. These papers discuss insurance applications of asset pricing models, capital structure theory, and the economic theory of agency.
Author : J. David Cummins
Publisher : Springer Science & Business Media
ISBN 13 : 9400926774
Total Pages : 184 pages
Book Rating : 4.76/5 ( download)
Download or read book Classical Insurance Solvency Theory written by J. David Cummins and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of solvency is, in fact, as old as insurance. The history of the industry knows many ways to meet the risks involved with underwriting, such as spreading the risk portfolio (Cato, Senior already applied it), risk selection, reserve funds, reinsurance, etc. Whilst these measures too often proved ineffective, the establish ment of legislative control and public supervision ensued. However, not until the last few decades has the solvency issue become an ob ject of intensive studies, very much thanks to the progress of related empirical and theoretical knowledge, and in the under standing of the concerned complicated processes. The research activities have grown extensively in many countries in recent years. The more the studies advance the more new relevant aspects are detected and a great variety of alternative proposals have come up for discussion. Therefore, it has become necessary to attempt a survey of the whole problem area in order to be able to place the quite numerous pieces of knowledge in their proper context, and also, among other things, to avoid the pitfalls of handling isolated problems omitting vital tie-ins to the environment. Many of the rele vant problems and subproblems are still lacking adequate and well tested solutions. Therefore, a survey of the whole problem area can also hopefully serve as guidance for future research efforts.
Author : Eduardo D. Sontag
Publisher : Springer Science & Business Media
ISBN 13 : 1461205778
Total Pages : 543 pages
Book Rating : 4.77/5 ( download)
Download or read book Mathematical Control Theory written by Eduardo D. Sontag and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: Geared primarily to an audience consisting of mathematically advanced undergraduate or beginning graduate students, this text may additionally be used by engineering students interested in a rigorous, proof-oriented systems course that goes beyond the classical frequency-domain material and more applied courses. The minimal mathematical background required is a working knowledge of linear algebra and differential equations. The book covers what constitutes the common core of control theory and is unique in its emphasis on foundational aspects. While covering a wide range of topics written in a standard theorem/proof style, it also develops the necessary techniques from scratch. In this second edition, new chapters and sections have been added, dealing with time optimal control of linear systems, variational and numerical approaches to nonlinear control, nonlinear controllability via Lie-algebraic methods, and controllability of recurrent nets and of linear systems with bounded controls.
Author : Salvatore Federico
Publisher :
ISBN 13 : 9783039360581
Total Pages : 206 pages
Book Rating : 4.82/5 ( download)
Download or read book Applications of Stochastic Optimal Control to Economics and Finance written by Salvatore Federico and published by . This book was released on 2020-06-23 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
Author : Chris Myers
Publisher : BoD – Books on Demand
ISBN 13 : 9533071214
Total Pages : 663 pages
Book Rating : 4.13/5 ( download)
Download or read book Stochastic Control written by Chris Myers and published by BoD – Books on Demand. This book was released on 2010-08-17 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainty presents significant challenges in the reasoning about and controlling of complex dynamical systems. To address this challenge, numerous researchers are developing improved methods for stochastic analysis. This book presents a diverse collection of some of the latest research in this important area. In particular, this book gives an overview of some of the theoretical methods and tools for stochastic analysis, and it presents the applications of these methods to problems in systems theory, science, and economics.
Author : C.D. Daykin
Publisher : CRC Press
ISBN 13 : 9780412428500
Total Pages : 572 pages
Book Rating : 4.04/5 ( download)
Download or read book Practical Risk Theory for Actuaries written by C.D. Daykin and published by CRC Press. This book was released on 1993-12-01 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: This classic textbook covers all aspects of risk theory in a practical way. It builds on from the late R.E. Beard's extremely popular book Risk Theory, but features more emphasis on simulation and modeling and on the use of risk theory as a practical tool. Practical Risk Theory is a textbook for practicing and student actuaries on the practical aspects of stochastic modeling of the insurance business. It has its roots in the classical theory of risk but introduces many new elements that are important in managing the insurance business but are usually ignored in the classical theory. The authors avoid overcomplicated mathematics and provide an abundance of diagrams.
Author : Søren Asmussen
Publisher : Springer Nature
ISBN 13 : 3030351769
Total Pages : 505 pages
Book Rating : 4.62/5 ( download)
Download or read book Risk and Insurance written by Søren Asmussen and published by Springer Nature. This book was released on 2020-04-17 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical implementation. Aimed at the graduate level, pointing in part to current research topics, it can potentially replace other textbooks on basic non-life insurance mathematics and advanced risk management methods in non-life insurance. Based on chapters selected according to the particular topics in mind, the book may serve as a source for introductory courses to insurance mathematics for non-specialists, advanced courses for actuarial students, or courses on probabilistic aspects of risk. It will also be useful for practitioners and students/researchers in related areas such as finance and statistics who wish to get an overview of the general area of mathematical modeling and analysis in insurance.
