The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model

DOI10.1016/J.CAM.2022.114368MaRDI QIDQ2146337zbMATH OpenOpenAlexWikidataFDO

Authors Guoxin Liu, Xiaoying Liu, Zhaoyang Liu

Publication date 16 June 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.114368

zbMATH Keywords

HJB equationoptimal dividend problempolicy iteration algorithmmulti-band strategyCramér-Lundberg risk model

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 3148886 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
• Jumping Markov processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Optimal dividend strategies for two collaborating insurance companies
• Optimal risk control and dividend policies under excess of loss reinsurance
• Optimality results for dividend problems in insurance
• Policy iteration for average cost Markov control processes on Borel spaces
• Stochastic optimization in insurance. A dynamic programming approach
• The policy iteration algorithm for average continuous control of piecewise deterministic Markov processes
• The policy iteration algorithm for average reward Markov decision processes with general state space

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