Stochastic Control In Insurance

Author : Hanspeter Schmidli
Publisher : Springer Science & Business Media
ISBN 13 : 1848000030
Total Pages : 263 pages
Book Rating : 4.32/5 ( download)

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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 : Jukka Rantala
Publisher :
ISBN 13 : 9789514415265
Total Pages : 157 pages
Book Rating : 4.64/5 ( download)

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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 : Pablo Azcue
Publisher : Springer
ISBN 13 : 1493909959
Total Pages : 153 pages
Book Rating : 4.57/5 ( download)

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Download or read book Stochastic Optimization in Insurance written by Pablo Azcue and published by Springer. This book was released on 2014-06-19 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
ISBN 13 : 1461558239
Total Pages : 352 pages
Book Rating : 4.31/5 ( download)

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Download or read book Applied Stochastic Models and Control for Finance and Insurance written by Charles S. Tapiero and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.

Author : Chris Myers
Publisher : BoD – Books on Demand
ISBN 13 : 9533071214
Total Pages : 663 pages
Book Rating : 4.13/5 ( download)

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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 : Jiongmin Yong
Publisher : Springer Science & Business Media
ISBN 13 : 1461214661
Total Pages : 459 pages
Book Rating : 4.63/5 ( download)

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Download or read book Stochastic Controls written by Jiongmin Yong and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.

Author : Robert J. Elliot
Publisher : World Scientific
ISBN 13 : 9814383309
Total Pages : 605 pages
Book Rating : 4.01/5 ( download)

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Download or read book Stochastic Processes, Finance and Control written by Robert J. Elliot and published by World Scientific. This book was released on 2012 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.

Author : Søren Asmussen
Publisher : Springer Nature
ISBN 13 : 3030351769
Total Pages : 505 pages
Book Rating : 4.62/5 ( download)

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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.

Author : Huyên Pham
Publisher : Springer Science & Business Media
ISBN 13 : 3540895000
Total Pages : 243 pages
Book Rating : 4.08/5 ( download)

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Download or read book Continuous-time Stochastic Control and Optimization with Financial Applications written by Huyên Pham and published by Springer Science & Business Media. This book was released on 2009-05-28 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Author : CIME-EMS Summer School
Publisher : Springer Science & Business Media
ISBN 13 : 9783540229537
Total Pages : 328 pages
Book Rating : 4.31/5 ( download)

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Download or read book Stochastic Methods in Finance written by CIME-EMS Summer School and published by Springer Science & Business Media. This book was released on 2004 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: