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Stochastic Control in Insurance by Hanspeter Schmidli
Stochastic Control in Insurance by Hanspeter Schmidli
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Stochastic Control in Insurance

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Description

Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. 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. 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.
Release date Australia
January 9th, 2008
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
  • Undergraduate
Illustrations
XVI, 258 p.
Pages
258
Dimensions
156x234x14
ISBN-13
9781848000025
Product ID
2042277

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