Stochastic Control in Insurance - Probability and Its Applications (Paperback)Hanspeter Schmidli (author)
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Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli's brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.
Publisher: Springer London Ltd
Number of pages: 258
Weight: 421 g
Dimensions: 235 x 155 x 14 mm
Edition: 2008 ed.
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 Bauerle, Mathematical Reviews, Issue 2008 k)
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