Stochastic control in discrete time: Dynamic Programming (4)
Dr. Cheng-Hsun Wu 吳政訓 博士Institute of Mathematics, Academia Sinica,中央研究院數學研究所 上午 10:00–12:00 鴻經館M412 室This is a study seminar to learn the uses of stochastic control in insurance. We plan to study the materials based on a book by Hanspeter Schmidli. The seminar gives a chance to learn the uses of stochastic control method in solving the optimization problems. The book in particular discusses some problems from insurance. They include: the optimal dividend in risk theory, minimizing the ruin probabilities, and the optimal investment problem.
We plan to meet on Wednesday in the morning for every two weeks.
The book by Schmidli consists of 4 chapters. The main issues discussed in this seminar are organized as follows. First, we will start with the concept of stochastic control in discrete time and introduce the discrete-time dynamic programming. The stochastic control in continuous time will be illustrated in the second part. Furthermore, several applications in insurance will be discussed after presenting Hamilton-Jacobi-Bellman approach. Then, the problems in life insurance with the continuous time case will be discussed, and the last is the asymptotic properties of the value function obtained from Hamilton-Jacobi-Bellman equation.