Stochastic optimal control of risk processes with Lipschitz payoff functions

DOI10.1007/S10559-014-9668-7MaRDI QIDQ2263350zbMATH OpenOpenAlexFDO

Authors B. V. Norkin

Publication date 18 March 2015

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-014-9668-7

zbMATH Keywords

dynamic programmingPareto optimalitystochastic optimal controldiscrete timeinsurancesuccessive approximation methodrisk processoptimal dividend policybarrier-proportional strategyLipschitz payoff function

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cited in

(8)

• Stochastic optimization models of actuarial mathematics
• Stochastic control for insurance: new problems and methods
• Optimal Control of Conditional Value-at-Risk in Continuous Time
• Optimal risk control under functionally restricted perturbation
• scientific article; zbMATH DE number 1414110 (Why is no real title available?)
• Stochastic optimization of risk functions via parametric smoothing
• Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem
• Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

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