Stochastic Control in Insurance
Stochastic control is one of the methods being used to find optimal decision-making strategies in fields such as operations research and mathematical finance. In recent years, stochastic control techniques have been applied to non-life insurance problems,
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Probability and Its Applications Anderson: Continuous-Time Markov Chains. Azencott/Dacunha-Castelle: Series of Irregular Observations. Bass: Diffusions and Elliptic Operators. Bass: Probabilistic Techniques in Analysis. Berglund/Gentz: Noise-Induced Phenomena in Slow-Fast Dynamical Systems Chen: Eigenvalues, Inequalities and Ergodic Theory Choi: ARMA Model Identification. Costa, Fragoso and Marques: Discrete-Time Markov Jump Linear Systems Daley/Vere-Jones: An Introduction to the Theory of Point Processes. Volume I: Elementary Theory and Methods, Second Edition. de la Peña/Giné: Decoupling: From Dependence to Independence. Durrett: Probability Models for DNA Sequence Evolution. Galambos/Simonelli: Bonferroni-type Inequalities with Applications. Gani (Editor): The Craft of Probabilistic Modelling. Grandell: Aspects of Risk Theory. Gut: Stopped Random Walks. Guyon: Random Fields on a Network. Kallenberg: Foundations of Modern Probability, Second Edition. Last/Brandt: Marked Point Processes on the Real Line. Leadbetter/Lindgren/Rootzén: Extremes and Related Properties of Random Sequences and Processes. Molchanov: Theory of Random Sets Nualart: The Malliavin Calculus and Related Topics. Rachev/Rüschendorf: Mass Transportation Problems. Volume I: Theory. Rachev/Rüschendorf: Mass Transportation Problems. Volume II: Applications. Resnick: Extreme Values, Regular Variation and Point Processes. Schmidli: Stochastic Control in Insurance Shedler: Regeneration and Networks of Queues. Silvestrov: Limit Theorems for Randomly Stopped Stochastic Processes Thorisson: Coupling, Stationarity, and Regeneration. Todorovic: An Introduction to Stochastic Processes and Their Applications.
Hanspeter Schmidli
Stochastic Control in Insurance
Hanspeter Schmidli, PhD Institute of Mathematics University of Cologne Weyertal 86-90 D-50931 Köln Germany Series Editors J. Gani Stochastic Analysis Group, CMA Australian National University Canberra ACT 0200 Australia Peter Jagers Mathematical Statistics Chalmers University of Technology S-412 96 Göteborg Sweden
C.C. Heyde Stochastic Analysis Group, CMA Australian National University Canberra ACT 0200 Australia T.G. Kurtz Department of Mathematics University of Wisconsin 480 Lincoln Drive Madison, WI 53706 USA
Mathematics Subject Classification (2000): 60G51, 90C39, 91B30, 60K15, 49L20, 60F10 British Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library
Library of Congress Control Number: 2007939040 ISBN: 978-1-84800-002-5
e-ISBN: 978-1-84800-003-2
© Springer-Verlag London Limited 2008 Apart from any fair dealing for the purposes of research or private study, or criticism or review, as permitted under the Copyright, Designs and Patents Act 1988, this publication may only be reproduced, stored or transmitted, in any form or by any means, with the prior permission in writing of the publishers, or in the case of reprographic reproduction in accordance with the terms of licences issued by the Copyright Licensing Agency. Enquiries concernin
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