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

This paper is intended as a companion to [12] and focuses on the numerical implementations of the method in the context of insurance problems with mixed controls: reinsurance acting as continuous control, and capital injection and dividend payment acting as singular ones. The aim is twofold. On the...

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Bibliographic Details
Published in:	Applied mathematics and computation Vol. 473; p. 128655
Main Authors:	Goreac, Dan, Li, Juan, Wang, Pangbo, Xu, Boxiang
Format:	Journal Article
Language:	English
Published:	Elsevier Inc 15.07.2024
Subjects:	Capital injection Dividends Dual algorithm Dual dynamic programming Linear programming Occupation measure Reinsurance Singular/continuous control 93-08 Dividends 65K15 Singular/continuous control Dual dynamic programming Linear programming Capital injection 91G50 49M20 93E20 Reinsurance 65C30 49J40 49M29 65K10 Occupation measure Dual algorithm
ISSN:	0096-3003, 1873-5649
Online Access:	Get full text
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