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| Author | : Jingzhen Liu |
| Publisher | : |
| Total Pages | : 115 |
| Release | : 2010 |
| Genre | : Insurance companies |
| ISBN | : |
| Author | : Pablo Azcue |
| Publisher | : Springer |
| Total Pages | : 153 |
| Release | : 2014-06-19 |
| Genre | : Mathematics |
| ISBN | : 1493909959 |
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 possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.
| Author | : Chunhui Xu |
| Publisher | : Springer |
| Total Pages | : 185 |
| Release | : 2018-07-24 |
| Genre | : Business & Economics |
| ISBN | : 9811303177 |
This is the first book to introduce the major quantitative tools in risk management taking financial investments and logistics planning as the background: optimization and stochastic programming. Contained here are the fundamentals of portfolio selection theory from the point of view of risk control, and methods for risk control with new and popular risk measures such as VaR (Value-at-Risk) and CVaR (Conditional VaR). The book also introduces a new theory for risk management in more general investment situations such as flexible investment decisions, providing an accessible and comprehensive introduction to the interrelations between these fields of research. Basic concepts of stochastic programming are introduced, and their applications to risk management in inventory distribution and network design are covered as well. Illustrated by carefully chosen examples and supported by extensive data analyses, this book is highly recommended to readers who seek an in-depth and up-to-date integrated overview of the ever-expanding theoretical and quantitative fields of risk management in financial investment and logistics planning.
| Author | : William T. Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 756 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 981256800X |
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
| Author | : Marida Bertocchi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 480 |
| Release | : 2011-09-15 |
| Genre | : Business & Economics |
| ISBN | : 1441995862 |
This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
| Author | : Mary R. Hardy |
| Publisher | : Cambridge University Press |
| Total Pages | : 689 |
| Release | : 2022-05-05 |
| Genre | : Business & Economics |
| ISBN | : 1009098462 |
This relevant, readable text integrates quantitative and qualitative approaches, connecting key mathematical tools to real-world challenges.
| Author | : Charles S. Tapiero |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 352 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1461558239 |
Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.
| Author | : Alexander Melnikov |
| Publisher | : CRC Press |
| Total Pages | : 267 |
| Release | : 2004-06-02 |
| Genre | : Mathematics |
| ISBN | : 1135437459 |
Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.
| Author | : Frederike Neise |
| Publisher | : Vieweg+Teubner Verlag |
| Total Pages | : 107 |
| Release | : 2008-07-28 |
| Genre | : Mathematics |
| ISBN | : 9783834805478 |
The author presents two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem. She describes mean-risk modeling and stochastic programming with first order dominance constraints. Both approaches are applied to optimize the operation of a dispersed generation system.
| Author | : G. Ottaviani |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 123 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3642578462 |
Published with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.
