Stochastic control for insurance: new problems and methods

DOI10.1007/978-3-319-66536-8_5MaRDI QIDQ1622626zbMATH OpenOpenAlexFDO

Authors Christian Hipp

Publication date 19 November 2018

Full work available at URL https://doi.org/10.1007/978-3-319-66536-8_5

zbMATH Keywords

Euler-type discretisationsmulti objective problemstochastic controlviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Recommendations

• Stochastic control for insurance: models, strategies, and numerics
• Stochastic optimization in insurance. A dynamic programming approach
• scientific article; zbMATH DE number 2144816
• Stochastic optimization for the ruin probability
• Stochastic optimal control of risk processes with Lipschitz payoff functions

Cited in

(10)

• Stochastic control for insurance: models, strategies, and numerics
• Insurance pricing using \(H_{\infty}\)-control
• Stochastic optimal control of risk processes with Lipschitz payoff functions
• Stochastic control problems for systems driven by normal martingales
• Numerical methods for optimal insurance demand under marked point processes shocks
• A note on applications of stochastic ordering to control problems in insurance and finance
• scientific article; zbMATH DE number 2144816 (Why is no real title available?)
• scientific article; zbMATH DE number 7071860 (Why is no real title available?)
• Stochastic optimization in insurance. A dynamic programming approach
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)

This page was built for publication: Stochastic control for insurance: new problems and methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1622626)