Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
696205 | Automatica | 2012 | 13 Pages |
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.
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Engineering
Control and Systems Engineering
Authors
Zhuo Jin, G. Yin, Chao Zhu,