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Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Source :
-
Automatica . Aug2012, Vol. 48 Issue 8, p1489-1501. 13p. - Publication Year :
- 2012
-
Abstract
- Abstract: This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function is introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approximate the value function and optimal controls, Markov chain approximation techniques are used to construct a discrete-time controlled Markov chain. The proofs of the convergence of the approximation sequence to the surplus process and the value function are given. Examples of proportional and excess-of-loss reinsurance are presented to illustrate the applicability of numerical methods. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 00051098
- Volume :
- 48
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- Automatica
- Publication Type :
- Academic Journal
- Accession number :
- 78144903
- Full Text :
- https://doi.org/10.1016/j.automatica.2012.05.039