Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
نویسندگان
چکیده
منابع مشابه
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
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 techniq...
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ژورنال
عنوان ژورنال: Automatica
سال: 2012
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2012.05.039