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Article: Stochastic optimization algorithms for barrier dividend strategies

TitleStochastic optimization algorithms for barrier dividend strategies
Authors
KeywordsBarrier strategy
Dividend optimization
Stochastic approximation
Issue Date2009
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam
Citation
Journal Of Computational And Applied Mathematics, 2009, v. 223 n. 1, p. 240-262 How to Cite?
AbstractThis 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 barrier-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. © 2008 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/59875
ISSN
2015 Impact Factor: 1.328
2015 SCImago Journal Rankings: 1.089
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYin, Gen_HK
dc.contributor.authorSong, QSen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-05-31T03:59:13Z-
dc.date.available2010-05-31T03:59:13Z-
dc.date.issued2009en_HK
dc.identifier.citationJournal Of Computational And Applied Mathematics, 2009, v. 223 n. 1, p. 240-262en_HK
dc.identifier.issn0377-0427en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59875-
dc.description.abstractThis 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 barrier-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. © 2008 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/camen_HK
dc.relation.ispartofJournal of Computational and Applied Mathematicsen_HK
dc.rightsJournal of Computational and Applied Mathematics. Copyright © Elsevier BV.en_HK
dc.subjectBarrier strategyen_HK
dc.subjectDividend optimizationen_HK
dc.subjectStochastic approximationen_HK
dc.titleStochastic optimization algorithms for barrier dividend strategiesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0377-0427&volume=223&spage=240&epage=262&date=2009&atitle=Stochastic+optimization+algorithms+for+barrier+dividend+strategiesen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.cam.2008.01.007en_HK
dc.identifier.scopuseid_2-s2.0-54249121866en_HK
dc.identifier.hkuros159284en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-54249121866&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume223en_HK
dc.identifier.issue1en_HK
dc.identifier.spage240en_HK
dc.identifier.epage262en_HK
dc.identifier.isiWOS:000261041100019-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridYin, G=7201456006en_HK
dc.identifier.scopusauthoridSong, QS=13609322000en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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