Download e-book for kindle: Stochastic Optimization in Insurance: A Dynamic Programming by Pablo Azcue,Nora Muler

By Pablo Azcue,Nora Muler

ISBN-10: 1493909940

ISBN-13: 9781493909940

The major function of the booklet is to teach how a viscosity procedure can be utilized to take on keep watch over difficulties in assurance. the issues coated are the maximization of survival chance in addition to the maximization of dividends within the classical collective probability version. The authors think about the potential of controlling the chance strategy via reinsurance in addition to via investments. They express that optimum price features are characterised as both the original or the smallest viscosity answer of the linked Hamilton-Jacobi-Bellman equation; in addition they learn the constitution of the optimum suggestions and convey how to define them.

The viscosity method was once established up to the mark difficulties with regards to mathematical finance yet till rather lately it used to be no longer used to resolve keep an eye on difficulties regarding actuarial mathematical technological know-how. This publication is designed to familiarize the reader on the best way to use this method. The meant viewers is graduate scholars in addition to researchers during this area.

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Stochastic Optimization in Insurance: A Dynamic Programming Approach (SpringerBriefs in Quantitative Finance) by Pablo Azcue,Nora Muler

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