Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects

DOI10.1016/j.amc.2024.128655zbMATH Open1545.91262MaRDI QIDQ6585497

Boxiang Xu, Pangbo Wang, Juan Li, Dan Goreac

Publication date: 12 August 2024

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

linear programmingoccupation measurereinsurancedividendsdual dynamic programmingdual algorithmcapital injectionsingular/continuous control

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

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• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems
• Fluctuations of Lévy processes with applications. Introductory lectures
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models
• Nonlinear Optimal Control via Occupation Measures and LMI-Relaxations
• Stochastic Optimization in Insurance

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