Journal article 588 views
Simulating the Continuous Time Problem of Optimal Choice of New Business
Quality Technology & Quantitative Management, Volume: 2, Issue: 2, Pages: 189 - 200
Swansea University Author: Adam Shore
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DOI (Published version): 10.1080/16843703.2005.11673093
Abstract
This paper studies the use of simulation techniques to model complex situations in insurance business, where the risk process for old and new business are modeled by compound Poisson processes. The simulation is used to benchmark the solutions of the Hamilton-Jacobi-Bellman equation and to obtain re...
| Published in: | Quality Technology & Quantitative Management |
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| ISSN: | 1684-3703 |
| Published: |
Informa UK Limited
2005
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa15400 |
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| Abstract: |
This paper studies the use of simulation techniques to model complex situations in insurance business, where the risk process for old and new business are modeled by compound Poisson processes. The simulation is used to benchmark the solutions of the Hamilton-Jacobi-Bellman equation and to obtain results in the case of distributions, where solutions cannot be obtained analytically. We also explore the problem of estimating the probability of achieving a target capital before ruin. |
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| Keywords: |
Bellman equation, new business, optimisation, stochastic control |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
2 |
| Start Page: |
189 |
| End Page: |
200 |