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Optimization and Asymptotic Analysis of Insurance Modelsтезисы доклада
- Автор: Bulinskaya Ekaterina
- Сборник: BOOK of ABSTRACTS ASMDA 2021 and Demographics 2021 Workshop
- Тезисы
- Год издания: 2021
- Первая страница: 37
- Последняя страница: 38
- Аннотация: We study several discrete- and continuous-time models in the framework of reliability and cost approaches. Reinsurance, dividends, bank loans and investments are controls in optimization problems. Stochastic orders of random variables provide the possibility to compare various models. Parameters estimation and models’ stability with respect to small fluctuations of parameters and perturbations of underlying distributions are treated as well. For this purpose, we use the methods of global and local sensitivity analysis and probability metrics.
- Добавил в систему: Булинская Екатерина Вадимовна