 Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. Part II: Numerical aspectsDan Goreac, Juan Li, Pangbo Wang and Boxiang Xu Applied Mathematics and Computation, 2024, vol. 473, issue C Abstract: 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 one hand, we provide a comparison of the output of our method in terms of the optimal value against two benchmarks. The first benchmark is provided by [4] in the no-reinsurance setting and when the claims are exponentially distributed. The second benchmark refers to [8] where capital injections are not permitted, but different claim distributions can be employed. On the other hand, we illustrate the improvement of the models in [8] when capital injection is allowed. We also look into the effect of reinsurance in the model [4]. Several cases for the equity cost parameter are discussed as are the boundary (or limit) situations. Keywords: Singular/continuous control; Linear programming; Dual algorithm; Reinsurance; Capital injection; Dividends; Occupation measure; Dual dynamic programming (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:473:y:2024:i:c:s0096300324001279 DOI: 10.1016/j.amc.2024.128655 Access Statistics for this article Applied Mathematics and Computation is currently edited by Theodore Simos More articles in Applied Mathematics and Computation from Elsevier |
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