Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management

DOI10.1515/CMAM-2015-0015zbMath1349.91308OpenAlexW2402772845MaRDI QIDQ2516863

Zhuo Jin, George Yin, Rebecca Stockbridge

Publication date: 4 August 2015

Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/cmam-2015-0015

zbMATH Keywords

stochastic control stochastic differential game quantile hedging guaranteed minimum death benefit reinsurance strategy investment strategy Markov chain approximation dividend policy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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