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Cours de Formation par la Recherche
Optimal Control in Insurance
à l’ENSAE 3, Avenue Pierre Larousse, Malakoff (Métro : Malakoff/Plateau de Vanves)
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Hansjoerg ALBRECHER
(Hautes Etudes Commerciales, Université de Lausanne et Invité CREST, LFA)
In this course some basic principles of stochastic control techniques in insurance applications will be discussed. These will then be applied for the identification of the optimal choice of dividend strategies, reinsurance, investment of part of the reserve in risky and risk-less assets as well as portfolio size.
The needed mathematical techniques vary according to the concrete objective functions, constraints and in particular on the risk model assumptions.
Particular emphasis will also be given to practical issues like transaction costs, finitely many allowed interventions, etc. Finally, the robustness of the resulting strategies and both similarities and differences to optimal control problems in finance will be discussed.
Cours Lundi 21 Mars 2011 De 14h 30 à 16h 10 Amphi 2
Jeudi 24 Mars 2011 De 15h à 17h 10 Amphi 2
Jeudi 7 Avril 2011 De 14 h à 17h 15 Amphi 2 |
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