Optimal Proportional Reinsurance Policies For Levy Markets With Costs PDF Download
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Author | : Zororo Stanelake Makumbe |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 64 |
Release | : 2010 |
Genre | : |
ISBN | : 9783843367240 |
Download Optimal Proportional Reinsurance Policies For Levy Markets With Costs Book in PDF, ePub and Kindle
From the point of view of the first insurer, we determine the ideal proportion of an insurance policy, in a Levy market, to be re insured and the expected value attained using Stochastic control (Dynamic programming). A Levy process is used to model the reserves of the insurer given that a re insurance policy has been implemented as a means of risk transfer. For completeness, the results are analytically and graphically compared with those of a diffusion model with the aid of Matlab. Financial mathematicians, actuaries, and insurers would find this book useful. A background in stochastic differential equations will make understanding easier.
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Total Pages | : |
Release | : 1999 |
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Download Research Reports Book in PDF, ePub and Kindle
Author | : Wuneng Zhou |
Publisher | : Springer |
Total Pages | : 367 |
Release | : 2015-08-13 |
Genre | : Technology & Engineering |
ISBN | : 3662478331 |
Download Stability and Synchronization Control of Stochastic Neural Networks Book in PDF, ePub and Kindle
This book reports on the latest findings in the study of Stochastic Neural Networks (SNN). The book collects the novel model of the disturbance driven by Levy process, the research method of M-matrix, and the adaptive control method of the SNN in the context of stability and synchronization control. The book will be of interest to university researchers, graduate students in control science and engineering and neural networks who wish to learn the core principles, methods, algorithms and applications of SNN.
Author | : David M. Dror |
Publisher | : World Bank Publications |
Total Pages | : 548 |
Release | : 2002-01-01 |
Genre | : Business & Economics |
ISBN | : 9780821350416 |
Download Social Reinsurance Book in PDF, ePub and Kindle
Annotation This volume views community-based microinsurance as an incremental first step to improved financial protection and better access to health services for the poor. While community-based financing can be structured in various ways, this volume focuses on reinsurance as a mechanism for improving micro-level health insurance units. It outlines strategies and policies that can be applied by countries and donors to improve access to health care services.
Author | : Vladimir Panov |
Publisher | : Springer |
Total Pages | : 506 |
Release | : 2017-11-21 |
Genre | : Mathematics |
ISBN | : 331965313X |
Download Modern Problems of Stochastic Analysis and Statistics Book in PDF, ePub and Kindle
This book brings together the latest findings in the area of stochastic analysis and statistics. The individual chapters cover a wide range of topics from limit theorems, Markov processes, nonparametric methods, acturial science, population dynamics, and many others. The volume is dedicated to Valentin Konakov, head of the International Laboratory of Stochastic Analysis and its Applications on the occasion of his 70th birthday. Contributions were prepared by the participants of the international conference of the international conference “Modern problems of stochastic analysis and statistics”, held at the Higher School of Economics in Moscow from May 29 - June 2, 2016. It offers a valuable reference resource for researchers and graduate students interested in modern stochastics.
Author | : Robert S. Liptser |
Publisher | : Springer Science & Business Media |
Total Pages | : 409 |
Release | : 2013-03-14 |
Genre | : Mathematics |
ISBN | : 3662100282 |
Download Statistics of Random Processes II Book in PDF, ePub and Kindle
"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Author | : J. David Cummins |
Publisher | : World Bank Publications |
Total Pages | : 299 |
Release | : 2009 |
Genre | : Political Science |
ISBN | : 0821377361 |
Download Catastrophe Risk Financing in Developing Countries Book in PDF, ePub and Kindle
'Catastrophe Risk Financing in Developing Countries' provides a detailed analysis of the imperfections and inefficiencies that impede the emergence of competitive catastrophe risk markets in developing countries. The book demonstrates how donors and international financial institutions can assist governments in middle- and low-income countries in promoting effective and affordable catastrophe risk financing solutions. The authors present guiding principles on how and when governments, with assistance from donors and international financial institutions, should intervene in catastrophe insurance markets. They also identify key activities to be undertaken by donors and institutions that would allow middle- and low-income countries to develop competitive and cost-effective catastrophe risk financing strategies at both the macro (government) and micro (household) levels. These principles and activities are expected to inform good practices and ensure desirable results in catastrophe insurance projects. 'Catastrophe Risk Financing in Developing Countries' offers valuable advice and guidelines to policy makers and insurance practitioners involved in the development of catastrophe insurance programs in developing countries.
Author | : Salvatore Federico |
Publisher | : |
Total Pages | : 206 |
Release | : 2020-06-23 |
Genre | : |
ISBN | : 9783039360581 |
Download Applications of Stochastic Optimal Control to Economics and Finance Book in PDF, ePub and Kindle
In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
Author | : |
Publisher | : World Bank Publications |
Total Pages | : 136 |
Release | : 2006-01-01 |
Genre | : Business & Economics |
ISBN | : 0821365843 |
Download Earthquake Insurance in Turkey Book in PDF, ePub and Kindle
The persistent potential for large scale natural disasters has become a real concern for the Turkish government since the late 1990s, which ultimately led to the establishment of the Turkish Catastrophe Insurance Pool (TCIP). Among the main rationale of the creation of the TCIP were a grave government fiscal exposure to natural disasters and a disproportionately low level of catastrophe insurance penetration for such a disaster-prone country. Since the commencement of this program in 2000, the TCIP has provided coverage to more than 2 million households, being by far the largest insurance program in the country. In four years, the TCIP has managed to become one of the most trusted brand names in the Turkish insurance industry, and one of the largest catastrophe insurance pools in the world. Its success has also brought an international recognition, inspiring more than a dozen of countries world wide. The TCIP experience has also been a watershed for the World Bank as it has led to a rethinking of the roles of ex ante risk management relative to ex post donor support. This book presents the main technical imperatives and challenges in the development and the implementation of the TCIP and shows how a public-private partnership may be the way forward in the financing of natural disasters. If offers valuable advise and guidelines to policymakers involved in the development of catastrophe insurance programs.
Author | : Bernt Øksendal |
Publisher | : Springer Science & Business Media |
Total Pages | : 263 |
Release | : 2007-04-26 |
Genre | : Mathematics |
ISBN | : 3540698264 |
Download Applied Stochastic Control of Jump Diffusions Book in PDF, ePub and Kindle
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.