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Stochastic Optimization in Insurance: A Dynamic Programming Approach

By Pablo Azcue, Nora Muler
eBook
$54.99
By Pablo Azcue, Nora Muler
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The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the...