The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
DOI10.1016/J.CAM.2022.114368zbMATH Open1491.60127OpenAlexW4225280227WikidataQ113878721 ScholiaQ113878721MaRDI QIDQ2146337FDOQ2146337
Xiaoying Liu, Zhaoyang Liu, Guoxin 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
Recommendations
- Optimizing the expected utility of dividend payments for a Cramér-Lundberg risk process
- Optimal dividend and capital injection strategies in the Cramér-Lundberg risk model
- Optimal dividend policies for piecewise-deterministic compound Poisson risk models
- Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
HJB equationoptimal dividend problempolicy iteration algorithmmulti-band strategyCramér-Lundberg risk model
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)
Cites Work
- Title not available (Why is that?)
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Title not available (Why is that?)
- Title not available (Why is that?)
- The policy iteration algorithm for average reward Markov decision processes with general state space
- Stochastic Optimization in Insurance
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
- Policy iteration for average cost Markov control processes on Borel spaces
- Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility
- The policy iteration algorithm for average continuous control of piecewise deterministic Markov processes
- Jumping Markov processes
- Optimal dividend strategies for two collaborating insurance companies
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Optimal risk control and dividend policies under excess of loss reinsurance
- Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates
This page was built for publication: The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2146337)
