LAP Lambert Academic Publishing ( 15.10.2010 )
€ 49,00
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.
Детали книги: |
|
ISBN-13: |
978-3-8433-6724-0 |
ISBN-10: |
3843367248 |
EAN: |
9783843367240 |
Язык книги: |
English |
By (author) : |
Zororo Stanelake Makumbe |
Количество страниц: |
64 |
Опубликовано: |
15.10.2010 |
Категория: |
Теория вероятности, стохастичность, математическая статистика |