<div class="csl-bib-body">
<div class="csl-entry">Haberl, M. (2018). <i>Optimal risk control with non-cheap reinsurance</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2018.20644</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2018.20644
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/1774
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dc.description.abstract
The risk or value process of an insurance company, modelled by a Cramer-Lundberg model, is supposed to be controlled by a reinsurance share, that is a part of the risk is undertaken, but also premium has to be divided. The aim is to control this reinsurance level in way, that the discounted value of the risk process maximizes. First, the process is approximated by a diffusion process, then stochastic control theory is used to find an optimal value function and an optimal control. Non-cheap reinsurance and a bankruptcy value are also considered. In the last part of the thesis Monte-Carlo simulation is used to calculate examples and verify the solution.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Stochastische Kontrolltheorie
de
dc.subject
Hamilton-Jacobi-Bellman-Gleichung
de
dc.subject
proportionale Rückversicherung
de
dc.subject
Monte-Carlo
de
dc.subject
Stochastic Control
en
dc.subject
Cramer-Lundberg Model
en
dc.subject
Hamilton-Jacobi-Bellman Equation
en
dc.subject
proportional Reinsurance
en
dc.subject
Bankruptcy value
en
dc.subject
Monte-Carlo Simulation
en
dc.title
Optimal risk control with non-cheap reinsurance
en
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2018.20644
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Matthias Haberl
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik