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Stochastic optimization in insurance: a dynamic programming approach
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 possibilit...
| Autores principales: | , |
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| Lenguaje: | eng |
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Springer
2014
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| Acceso en línea: | https://dx.doi.org/10.1007/978-1-4939-0995-7 http://cds.cern.ch/record/1742592 |