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100   $a20140619d2014      u|         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aStochastic Optimization in Insurance $eA Dynamic Programming Approach /$fby Pablo Azcue, Nora Muler
205   $a1st ed. 2014.
210  1$aNew York, NY :$cSpringer New York :$cImprint: Springer,$d2014.
215   $a1 online resource (153 p.)
225 1 $aSpringerBriefs in Quantitative Finance,$x2192-7006
300   $aDescription based upon print version of record.
311   $a1-322-13315-8 
311   $a1-4939-0994-0 
320   $aIncludes bibliographical references and index.
327   $aStability Criteria for Insurance Companies -- Reinsurance and Investment -- Viscosity Solutions -- Characterization of Value Functions -- Optimal Strategies -- Numerical Examples -- References -- Appendix A. Probability Theory and Stochastic Processes -- Index.
330   $aThe main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.
410  0$aSpringerBriefs in Quantitative Finance,$x2192-7006
606   $aEconomics, Mathematical 
606   $aProbabilities
606   $aInsurance
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
606   $aInsurance$3https://scigraph.springernature.com/ontologies/product-market-codes/626030
615  0$aEconomics, Mathematical .
615  0$aProbabilities.
615  0$aInsurance.
615 14$aQuantitative Finance.
615 24$aProbability Theory and Stochastic Processes.
615 24$aInsurance.
676   $a368
700   $aAzcue$b Pablo$4aut$4http://id.loc.gov/vocabulary/relators/aut$0721691
702   $aMuler$b Nora$4aut$4http://id.loc.gov/vocabulary/relators/aut
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910299976603321
996   $aStochastic Optimization in Insurance$92540399
997   $aUNINA