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Field name	Details
Dewey Class	368.01
Title	Stochastic Control in Insurance ([EBook]) / by Hanspeter Schmidli.
Author	Schmidli, Hanspeter
Other name(s)	SpringerLink (Online service)
Publication	London : Springer London , 2008.
Physical Details	: online resource.
Series	Probability and Its Applications 1431-7028
ISBN	9781848000032
Summary Note	Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems, and in life insurance the theory has been further developed. 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. Wherever possible, the proofs are probabilistic but in some cases well-established analytical methods are used. 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. Readers should be familiar with basic probability theory and have a working knowledge of Brownian motion, Markov processes, martingales and stochastic calculus. Some knowledge of measure theory will also be useful for following the proofs.:
Contents note	Stochastic Control in Discrete Time -- Stochastic Control in Continuous Time -- Problems in Life Insurance -- Asymptotics of Controlled Risk Processes -- Appendices -- Stochastic Processes and Martingales -- Markov Processes and Generators -- Change of Measure Techniques -- Risk Theory -- The Black-Scholes Model -- Life Insurance -- References -- Index -- List of Principal Notation.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-1-84800-003-2
Links to Related Works	Subject References: Banks and banking . Calculus of variations and optimal control; optimization . Distribution (Probability theory) . Insurance — Mathematics . Mathematical optimization . Probability theory and stochastic processes . Stochastic Processes . Authors: Schmidli, Hanspeter . Corporate Authors: SpringerLink (Online service) . Series: Probability and Its Applications . Classification: 368.01 . 368.01 (DDC 22) .

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Stochastic Control in Insurance

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