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Azcue and N. Kulenko and H. MR [8] Yu.


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Mishura and O. Rolski, H. Schmidli, V. Schmidt, and J.

StOpt: A New Stochastic Optimization Library

MR [11] H. MR [12] H. Schmidli, On capital injections and dividends with tax in a classical risk model , Insurance Math. MR [13] H. Schmidli, On capital injections and dividends with tax in a diffusion approximation , Scand. MR [14] S. Shreve, J. Lehoczky, and D. MR Add to cart. Be the first to write a review About this product. About this product Product Information The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance.

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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Stochastic Optimization in Insurance | swisexizex.tk

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. The intended audience is graduate students as well as researchers in this area. Additional Product Features Number of Volumes.


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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. Show More Show Less. No ratings or reviews yet.

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Mathematics Quantitative Finance. 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 eBook.

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FAQ Policy. 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. Show all. Reinsurance and Investment Pages Azcue, Pablo et al.