STOCHASTIC OPTIMAL CONTROL OF RISK PROCESSES WITH LIPSCHITZ PAYOFF FUNCTIONS

被引:1
|
作者
Norkin, B. V. [1 ]
机构
[1] Natl Acad Sci Ukraine, VM Glushkov Inst Cybernet, Kiev, Ukraine
关键词
risk process; insurance; stochastic optimal control; discrete time; Lipschitz payoff function; optimal dividend policy; dynamic programming; successive approximation method; Pareto optimality; barrier-proportional strategy;
D O I
10.1007/s10559-014-9668-7
中图分类号
TP3 [计算技术、计算机技术];
学科分类号
0812 ;
摘要
This paper studies the stochastic optimal control problem of finding optimal dividend policies of an insurance company in discrete time with the use of general Lipschitz payoff functions involving indicators of profitability and risk. To construct positional optimal controls and to evaluate the performance indicators, the dynamic programming method is validated. The convergence rate of the successive approximation method in finding generally unbounded Bellman functions is estimated. The Pareto-optimal set of the problem is numerically approximated by so-called barrier-proportional control strategies.
引用
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页码:774 / 787
页数:14
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