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Simulating the Continuous Time Problem of Optimal Choice of New Business

M. Kelbert, I. Sazonov, Adam Shore

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...

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Published in: Quality Technology & Quantitative Management
ISSN: 1684-3703
Published: Informa UK Limited 2005
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URI: https://cronfa.swan.ac.uk/Record/cronfa15400
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first_indexed 2013-08-22T01:57:47Z
last_indexed 2023-01-11T13:45:20Z
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spelling 2022-11-02T15:13:23.7482145 v2 15400 2013-08-07 Simulating the Continuous Time Problem of Optimal Choice of New Business 32c3c0e6d2e80cf6f5a9b38e1ca2bbe9 Adam Shore Adam Shore true false 2013-08-07 BBU 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. Journal Article Quality Technology &amp; Quantitative Management 2 2 189 200 Informa UK Limited 1684-3703 Bellman equation, new business, optimisation, stochastic control 1 1 2005 2005-01-01 10.1080/16843703.2005.11673093 COLLEGE NANME Business COLLEGE CODE BBU Swansea University 2022-11-02T15:13:23.7482145 2013-08-07T14:33:07.9936525 Faculty of Humanities and Social Sciences School of Management - Business Management M. Kelbert 1 I. Sazonov 2 Adam Shore 3
title Simulating the Continuous Time Problem of Optimal Choice of New Business
spellingShingle Simulating the Continuous Time Problem of Optimal Choice of New Business
Adam Shore
title_short Simulating the Continuous Time Problem of Optimal Choice of New Business
title_full Simulating the Continuous Time Problem of Optimal Choice of New Business
title_fullStr Simulating the Continuous Time Problem of Optimal Choice of New Business
title_full_unstemmed Simulating the Continuous Time Problem of Optimal Choice of New Business
title_sort Simulating the Continuous Time Problem of Optimal Choice of New Business
author_id_str_mv 32c3c0e6d2e80cf6f5a9b38e1ca2bbe9
author_id_fullname_str_mv 32c3c0e6d2e80cf6f5a9b38e1ca2bbe9_***_Adam Shore
author Adam Shore
author2 M. Kelbert
I. Sazonov
Adam Shore
format Journal article
container_title Quality Technology &amp; Quantitative Management
container_volume 2
container_issue 2
container_start_page 189
publishDate 2005
institution Swansea University
issn 1684-3703
doi_str_mv 10.1080/16843703.2005.11673093
publisher Informa UK Limited
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Business Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Business Management
document_store_str 0
active_str 0
description 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.
published_date 2005-01-01T03:17:33Z
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score 11.036706

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