The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require...

As a main step in the numerical solution of control problems in continuous time,the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal...