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seminario

Pedro Morettin <pam@ime.usp.br>

Semin�rio

S�ries Temporais, An�lise de Depend�ncia e
Aplica��es em Atu�ria e Finan�as

Dia 13/09/2005, Sala 247, Bloco A, IME-USP

17 horas

"Optimization Problems in Non-Life Insurance"

            Hanspeter Schmidli

        University of Cologne, Germany

Abstract: During the last few years, control of the classical
risk process has been considered by several authors. We discuss
here two of them: (1) the problem of optimal dividend payments, and
(2) minimisation of the ruin probability. The method is the 
Hamilton-Jacobi-Bellman approach. In particular, we discuss the
first problem and the problems arising from the facts that the
value function is not necessarily differentiable, and that the
solution to the HJB equation is not unique.