Stochastic Control in Insurance by Hanspeter Schmidli
Yet again, here is a Springer volume that offers readers something completely new. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case.-
Probability Models for DNA Sequence Evolution
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An Introduction to Stochastic Integration
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Invariant Probabilities of Transition Functions
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Associated Sequences, Demimartingales and Nonparametric Inference
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Continuous-Time Markov Jump Linear Systems
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Quasi-Stationary Distributions
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Normal Approximation by Stein's Method
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Stochastic Partial Differential Equations
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Self-Normalized Processes
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Laws of Chaos
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Stochastic Differential Equations in Infinite Dimensions
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Invariant Random Fields on Spaces with a Group Action
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Noise-Induced Phenomena in Slow-Fast Dynamical Systems
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Schrodinger Diffusion Processes
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Probability Measures on Semigroups
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Measure-Valued Branching Markov Processes
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Stochastic Processes
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The Doctrine of Chances
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An Introduction to the Theory of Point Processes
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Eigenvalues, Inequalities, and Ergodic Theory
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Theory of Random Sets
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Feynman-Kac Formulae
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Mass Transportation Problems
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Stochastic Calculus for Fractional Brownian Motion and Applications
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Renewal Theory for Perturbed Random Walks and Similar Processes
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Discrete-Time Markov Jump Linear Systems
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Basics of Applied Stochastic Processes
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Limit Theorems for Randomly Stopped Stochastic Processes
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Point Process Theory and Applications
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Excursions of Markov Processes
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Decoupling
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The Malliavin Calculus and Related Topics
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Discrete-Time Semi-Markov Random Evolutions and Their Applications
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Stochastic Neutron Transport
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Diffusions and Elliptic Operators
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)
Hanspeter Schmidli is Professor of Stochastics and Actuarial Mathematics at the University of Cologne, Germany. He is one of the leading experts in the areas of optimization in insurance and ruin theory. He has published intensively in risk theory and related fields, having (co-)authored Stochastic Control in Insurance (Springer, 2008) and Stochastic Processes for Insurance and Finance (Wiley, 1999), which continue to be widely used resources.
| SKU | Unavailable |
| ISBN 13 | 9781848000025 |
| ISBN 10 | 1848000022 |
| Title | Stochastic Control in Insurance |
| Author | Hanspeter Schmidli |
| Series | Probability And Its Applications |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Springer London Ltd |
| Year published | 2008-01-09 |
| Number of pages | 258 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |