Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals - this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques. Then he applies the principles to several problems in actuarial mathematics. These examples show how verification theorems and existence theorems may be proved - they also show that, in contrast to general belief, the non-diffusion case is simpler than the diffusion case. In the last part of the book, applied probability techniques are used to determine the asymptotics of the controlled stochastic process. This book also includes a number of appendices to supplement the main material of the book - and will be suitable for graduate and postgraduate students of actuarial and financial mathematics, as well as researchers, and practitioners in insurance companies and banks who wish to use these techniques in their work.

First systematic treatment of actuarial control, rather than financial control The area has developed considerably in recent years, and results are collected here in one volume for the first time Approaches stochastic control theory for specific examples motivated by problems in actuarial mathematics - readers will be able to see the theory work

Autorentext

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.

Inhalt
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.