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stochastischer Differentialgleichungen spielen bei der Modellierung in der Finanzwirtschaft und in der Versicherungswissenschaft eine wichtige Rolle. In der Finanzwirtschaft bilden sie die Grundlage f\u00fcr die Bewertung von derivativen Finanzinstrumenten (Optionen, Futures und Swaps) und f\u00fcr die Berechnung der zugeh\u00f6rigen Hedging-Strategien. In der Versicherungswissenschaft stellen diese L\u00f6sungen Approximationen f\u00fcr den Risikoreserveproze\u00df bei gro\u00dfen Versicherungsbest\u00e4nden dar. Ausgehend von dieser Diffusionsapproximation f\u00fcr den Risikoreserveproze\u00df wird das Problem der simultanen Kontrolle von Kapitalanlagerisiko und Schadenrisiko im Versicherungsunternehmen als stochastisches Kontrollproblem dargestellt. Erste L\u00f6sungen f\u00fcr das entstehende Kontrollproblem findet man bei \\textit{D. Duffie} und \\textit{H. R. Richardson} [Ann. Appl. Probab. 1, No. 1, 1-15 (1991; Zbl 0735.90021)] und bei \\textit{M. Schweizer} [ibid. 2, No. 1, 171-179 (1992; Zbl 0742.60042); Ann. Probab. 22, No. 3, 1536-1575 (1994; Zbl 0814.60041)]. Im Vortrag werden L\u00f6sungen f\u00fcr allgemeinere Zwei-Faktoren-Modelle dargestellt und Methoden f\u00fcr deren Berechnung vorgeschlagen. Diese Berechnungen basieren auf der It\u00f4-Darstellung, die in allgemeinen Situationen durch Monte-Carlo-Simulation bestimmt werden kann. Theoretische Resultate und Simulationsergebnisse zeigen, da\u00df bei optimaler Steuerung und bei langem Planungszeitraum ein \u00fcberraschend kleines Restrisiko erreicht wird. For the entire collection see [Zbl 0846.00032].","type":"string"},"datatype":"string"},"type":"statement","id":"Q4370177$D608FFDF-6CC0-4D3B-9C93-DFE1684EC990","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4370177","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4370177"}}}}}