Overview
- First systematic treatment of actuarial control, rather than financial control
- The area has developed considerably in recent years, and results are collected here in one volume for the first time
- Approaches stochastic control theory for specific examples motivated by problems in actuarial mathematics - readers will be able to see the theory work
Part of the book series: Probability and Its Applications (PIA)
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Table of contents (4 chapters)
Keywords
About this book
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.
Reviews
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)
Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Control in Insurance
Authors: Hanspeter Schmidli
Series Title: Probability and Its Applications
DOI: https://doi.org/10.1007/978-1-84800-003-2
Publisher: Springer London
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag London 2008
Softcover ISBN: 978-1-84800-002-5Published: 09 January 2008
eBook ISBN: 978-1-84800-003-2Published: 20 November 2007
Series ISSN: 1431-7028
Edition Number: 1
Number of Pages: XVI, 258
Topics: Actuarial Sciences, Probability Theory and Stochastic Processes, Calculus of Variations and Optimal Control; Optimization, Optimization, Finance, general, Control, Robotics, Mechatronics