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Stochastic Control in Insurance

  • Hanspeter┬áSchmidli

Part of the Probability and Its Applications book series (PIA)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Hanspeter Schmidli
    Pages 1-26
  3. Hanspeter Schmidli
    Pages 27-111
  4. Hanspeter Schmidli
    Pages 113-146
  5. Hanspeter Schmidli
    Pages 147-199
  6. Back Matter
    Pages 201-254

About this book

Introduction

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.

Keywords

Control Finance Investment Optimal control Probability theory calculus insurance life insurance measure theory non-life insurance optimal control methods probability proof stochastic control theorem

Authors and affiliations

  • Hanspeter┬áSchmidli
    • 1
  1. 1.Institute of MathematicsUniversity of CologneWeyertal 86-90Germany

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-84800-003-2
  • Copyright Information Springer-Verlag London Limited 2008
  • Publisher Name Springer, London
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-84800-002-5
  • Online ISBN 978-1-84800-003-2
  • Series Print ISSN 1431-7028
  • Buy this book on publisher's site
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