Stochastic optimization algorithms for barrier dividend strategies

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:223

Article

Yin, G.²  Song, Q. S.³  Yang, H.¹ 

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[3] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA

关键词: Dividend optimization;    Barrier strategy;    Stochastic approximation;   

DOI  :  10.1016/j.cam.2008.01.007

来源: Elsevier

【 摘 要 】

This work focuses on finding optimal barrier policy for an insurance risk model when the dividends are paid to the share holders according to a barrier strategy. A new approach based on stochastic optimization methods is developed. Compared with the existing results in the literature, more general surplus processes are considered. Precise models of the surplus need not be known. only noise-corrupted observations of the dividends are used. Using harrier-type strategies. a class of stochastic optimization algorithms are developed. Convergence of the algorithm is analyzed rate of convergence is also provided. Numerical results are reported to demonstrate the performance of the algorithm. (C) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

Free