Stochastic control methods in optimal design of life testing
نویسندگان
چکیده
منابع مشابه
securitization of mortality risks in life annuities
insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...
15 صفحه اول-Monotone Fourier Methods for Optimal Stochastic Control in Finance
Stochastic control problems in finance having complex controls inevitably give rise to low order accuracy, usually at most second order. Fourier methods are efficient at advancing the solution between control monitoring dates, but are not monotone. This gives rise to possible violations of arbitrage inequalities. We devise a preprocessing step for Fourier methods which involves projecting the G...
متن کاملA Comparison of Sample-based Stochastic Optimal Control Methods
In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamical system perturbed by exogenous noises so as to minimize some expected cost along a discrete and finite time horizon. We introduce the Mean Squared Error (MSE) which is the ex...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1994
ISSN: 0304-4149
DOI: 10.1016/0304-4149(94)90031-0