Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms

DOI10.1080/03461238.2022.2147862MaRDI QIDQ6096076zbMATH OpenOpenAlexFDO

Authors Hansjörg Albrecher

Publication date 11 September 2023

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2207.01329, https://serval.unil.ch/notice/serval:BIB_C48A24D862DA

zbMATH Keywords

genetic algorithmsstochastic controlCramér-Lundberg risk modeloptimal dividend strategies

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Evolutionary algorithms, genetic algorithms (computational aspects) (68W50) Optimal stochastic control (93E20)

Abstract: We reconsider the study of optimal dividend strategies in the Cram'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the identification of the optimal bands available in the literature are very hard to implement and explicit numerical results are known for very few cases only. In this paper we put a gradient-based method into place which allows to determine optimal bands in more general situations. In addition, we adapt an evolutionary algorithm to this dividend problem, which is not as fast, but applicable in considerable generality, and can serve for providing a competitive benchmark. We illustrate the proposed methods in concrete examples, reproducing earlier results in the literature as well as establishing new ones for claim size distributions that could not be studied before.

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Cited in

(2)

• Optimal dividend strategies for a catastrophe insurer
• An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward

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