Titelaufnahme

Titel
Optimal risk control with non-cheap reinsurance / von Matthias Haberl
Verfasser / Verfasserin Haberl, Matthias
Begutachter / BegutachterinGerhold, Stefan
ErschienenWien, 2018
Umfang64 Blätter : Illustrationen
HochschulschriftTechnische Universität Wien, Diplomarbeit, 2018
SpracheEnglisch
DokumenttypDiplomarbeit
Schlagwörter (DE)Stochastische Kontrolltheorie / Hamilton-Jacobi-Bellman-Gleichung / proportionale Rückversicherung / Monte-Carlo
Schlagwörter (EN)Stochastic Control / Cramer-Lundberg Model / Hamilton-Jacobi-Bellman Equation / proportional Reinsurance / Bankruptcy value / Monte-Carlo Simulation
URNurn:nbn:at:at-ubtuw:1-110248 Persistent Identifier (URN)
Zugriffsbeschränkung
 Das Werk ist frei verfügbar
Dateien
Optimal risk control with non-cheap reinsurance [1.08 mb]
Links
Nachweis
Klassifikation
Zusammenfassung (Englisch)

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.

Statistik
Das PDF-Dokument wurde 21 mal heruntergeladen.