Stochastic Control in Insurance

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Januar 2008



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.


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.


From the reviews:
"This book provides a state of the art treatment of dynamic stochastic control problems arising in insurance, like investment, dividend payout and reinsurance problems. ... The book comprises four chapters and a comprehensive appendix about stochastic processes, risk theory, life insurance and the Black-Scholes model. ... is certainly a valuable reference for graduate students and researchers in actuarial sciences who are interested in stochastic control methods. It discusses in a critical way the HJB approach for these problems and shows its scope and limitations." (Nicole Bäuerle, Mathematical Reviews, Issue 2008 k)
EAN: 9781848000025
ISBN: 1848000022
Untertitel: 'Probability and its Applications'. Pb. Sprache: Englisch.
Verlag: Springer-Verlag GmbH
Erscheinungsdatum: Januar 2008
Seitenanzahl: XVI
Format: kartoniert
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