The Resource Stochastic Control in Insurance, by Hanspeter Schmidli, (electronic resource)

Stochastic Control in Insurance, by Hanspeter Schmidli, (electronic resource)

Label
Stochastic Control in Insurance
Title
Stochastic Control in Insurance
Statement of responsibility
by Hanspeter Schmidli
Creator
Author
Author
Subject
Language
  • eng
  • eng
Summary
Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been further developed. This book provides a systematic treatment of optimal control methods applied to problems from insurance and investment, complete with detailed proofs. The theory is discussed and illustrated by way of examples, using concrete simple optimisation problems that occur in the actuarial sciences. The problems come from non-life insurance as well as life and pension insurance and also cover the famous Merton problem from mathematical finance. Wherever possible, the proofs are probabilistic but in some cases well-established analytical methods are used. The book is directed towards graduate students and researchers in actuarial science and mathematical finance who want to learn stochastic control within an insurance setting, but it will also appeal to applied probabilists interested in the insurance applications and to practitioners who want to learn more about how the method works. Readers should be familiar with basic probability theory and have a working knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge of measure theory will also be useful for following the proofs
Member of
Is Subseries of
http://library.link/vocab/creatorName
Schmidli, Hanspeter
Dewey number
368.01
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
9mlPc8ZgKyI
Language note
English
LC call number
HG8779-8793
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Probability and Its Applications,
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Mathematical optimization
  • Finance
  • Actuarial Sciences
  • Probability Theory and Stochastic Processes
  • Calculus of Variations and Optimal Control; Optimization
  • Optimization
  • Finance, general
  • Control, Robotics, Mechatronics
Label
Stochastic Control in Insurance, by Hanspeter Schmidli, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Stochastic Control in Discrete Time -- Stochastic Control in Continuous Time -- Problems in Life Insurance -- Asymptotics of Controlled Risk Processes -- Appendices -- Stochastic Processes and Martingales -- Markov Processes and Generators -- Change of Measure Techniques -- Risk Theory -- The Black-Scholes Model -- Life Insurance -- References -- Index -- List of Principal Notation
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (264 p.)
Form of item
online
Isbn
9781281137401
Media category
computer
Media type code
  • c
Other control number
10.1007/978-1-84800-003-2
Specific material designation
remote
System control number
  • (CKB)1000000000400520
  • (EBL)337180
  • (OCoLC)209987196
  • (SSID)ssj0000251529
  • (PQKBManifestationID)11201089
  • (PQKBTitleCode)TC0000251529
  • (PQKBWorkID)10170482
  • (PQKB)11582049
  • (DE-He213)978-1-84800-003-2
  • (MiAaPQ)EBC337180
  • (EXLCZ)991000000000400520
Label
Stochastic Control in Insurance, by Hanspeter Schmidli, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Stochastic Control in Discrete Time -- Stochastic Control in Continuous Time -- Problems in Life Insurance -- Asymptotics of Controlled Risk Processes -- Appendices -- Stochastic Processes and Martingales -- Markov Processes and Generators -- Change of Measure Techniques -- Risk Theory -- The Black-Scholes Model -- Life Insurance -- References -- Index -- List of Principal Notation
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (264 p.)
Form of item
online
Isbn
9781281137401
Media category
computer
Media type code
  • c
Other control number
10.1007/978-1-84800-003-2
Specific material designation
remote
System control number
  • (CKB)1000000000400520
  • (EBL)337180
  • (OCoLC)209987196
  • (SSID)ssj0000251529
  • (PQKBManifestationID)11201089
  • (PQKBTitleCode)TC0000251529
  • (PQKBWorkID)10170482
  • (PQKB)11582049
  • (DE-He213)978-1-84800-003-2
  • (MiAaPQ)EBC337180
  • (EXLCZ)991000000000400520

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