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Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler
| Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler |
| Autore | Azcue, Pablo |
| Pubbl/distr/stampa | New York, : Springer, 2014 |
| Descrizione fisica | X, 146 p. : ill. ; 24 cm |
| Altri autori (Persone) | Muler, Nora |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
91B05 - Risk models (general) [MSC 2020] 49L25 - Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games [MSC 2020] 97M30 - Financial and insurance mathematics (aspects of mathematics education) [MSC 2020] |
| Soggetto non controllato |
Band strategies
Classical collective risk model Dynamic programming principle HJB equation Insurance Quantitative Finance Ruin probability Viscosity solutions |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0102933 |
Azcue, Pablo
|
||
| New York, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler
| Stochastic optimization in insurance : a dynamic programming approach / Pablo Azcue, Nora Muler |
| Autore | Azcue, Pablo |
| Pubbl/distr/stampa | New York, : Springer, 2014 |
| Descrizione fisica | X, 146 p. : ill. ; 24 cm |
| Altri autori (Persone) | Muler, Nora |
| Soggetto topico |
49L25 - Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games [MSC 2020]
91B05 - Risk models (general) [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] 97M30 - Financial and insurance mathematics (aspects of mathematics education) [MSC 2020] |
| Soggetto non controllato |
Band strategies
Classical collective risk model Dynamic programming principle HJB equation Insurance Quantitative Finance Ruin probability Viscosity solutions |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00102933 |
|
Azcue, Pablo
|
||
| New York, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Surplus Analysis of Sparre Andersen Insurance Risk Processes / Gordon E. Willmot, Jae-Kyung Woo
| Surplus Analysis of Sparre Andersen Insurance Risk Processes / Gordon E. Willmot, Jae-Kyung Woo |
| Autore | Willmot, Gordon E. |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | viii, 225 p. : ill. ; 24 cm |
| Altri autori (Persone) | Woo, Jae-Kyung |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60G50 - Sums of independent random variables; random walks [MSC 2020] 62Pxx - Applications of statistics [MSC 2020] 60K10 - Applications of renewal theory (reliability, demand theory, etc.) [MSC 2020] |
| Soggetto non controllato |
Classical Poisson risk model analysis
Classical Poisson risk model derivation Classical compound poisson risk model Defective renewal equation Deficit at ruin Delayed renewal risk model Dependent Sparre Andersen risk model Dickson Hipp operator Discrete renewal risk model Gerber Shiu function Laplace transform Mixed Erlang distribution Renewal risk process Ruin probability Time of ruin |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124294 |
|
Willmot, Gordon E.
|
||
| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Surplus Analysis of Sparre Andersen Insurance Risk Processes / Gordon E. Willmot, Jae-Kyung Woo
| Surplus Analysis of Sparre Andersen Insurance Risk Processes / Gordon E. Willmot, Jae-Kyung Woo |
| Autore | Willmot, Gordon E. |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | viii, 225 p. : ill. ; 24 cm |
| Altri autori (Persone) | Woo, Jae-Kyung |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60G50 - Sums of independent random variables; random walks [MSC 2020] 60K10 - Applications of renewal theory (reliability, demand theory, etc.) [MSC 2020] 62Pxx - Applications of statistics [MSC 2020] |
| Soggetto non controllato |
Classical Poisson risk model analysis
Classical Poisson risk model derivation Classical compound poisson risk model Defective renewal equation Deficit at ruin Delayed renewal risk model Dependent Sparre Andersen risk model Dickson Hipp operator Discrete renewal risk model Gerber Shiu function Laplace transform Mixed Erlang distribution Renewal risk process Ruin probability Time of ruin |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00124294 |
|
Willmot, Gordon E.
|
||
| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
XII Symposium of Probability and Stochastic Processes : Merida, Mexico, November 16–20, 2015 / Daniel Hernández-Hernández, Juan Carlos Pardo, Victor Rivero editors
| XII Symposium of Probability and Stochastic Processes : Merida, Mexico, November 16–20, 2015 / Daniel Hernández-Hernández, Juan Carlos Pardo, Victor Rivero editors |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xi, 234 p. : ill. ; 24 cm |
| Soggetto topico |
60Jxx - Markov processes [MSC 2020]
93E20 - Optimal stochastic control [MSC 2020] 91B05 - Risk models (general) [MSC 2020] 60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60F17 - Functional limit theorems; invariance principles [MSC 2020] 91A15 - Stochastic games, stochastic differential games [MSC 2020] |
| Soggetto non controllato |
Beta-coalescent
Convex risk measures Differential games Impulse control Lévy processes Markov-Branching trees Optimal stopping Partial differential equations Random trees Ruin probability Semilinear systems of PDEs Singular control |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0125079 |
| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
XII Symposium of Probability and Stochastic Processes : Merida, Mexico, November 16–20, 2015 / Daniel Hernández-Hernández, Juan Carlos Pardo, Victor Rivero editors
| XII Symposium of Probability and Stochastic Processes : Merida, Mexico, November 16–20, 2015 / Daniel Hernández-Hernández, Juan Carlos Pardo, Victor Rivero editors |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xi, 234 p. : ill. ; 24 cm |
| Soggetto topico |
60F17 - Functional limit theorems; invariance principles [MSC 2020]
60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60Jxx - Markov processes [MSC 2020] 91A15 - Stochastic games, stochastic differential games [MSC 2020] 91B05 - Risk models (general) [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] |
| Soggetto non controllato |
Beta-coalescent
Convex risk measures Differential games Impulse control Lévy processes Markov-Branching trees Optimal stopping Partial differential equations Random trees Ruin probability Semilinear systems of PDEs Singular control |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00125079 |
| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||