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- Publisher Website: 10.1016/j.cam.2008.01.007
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Article: Stochastic optimization algorithms for barrier dividend strategies
Title | Stochastic optimization algorithms for barrier dividend strategies |
---|---|
Authors | |
Keywords | Barrier strategy Dividend optimization Stochastic approximation |
Issue Date | 2009 |
Publisher | Elsevier 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? |
Abstract | 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 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 Identifier | http://hdl.handle.net/10722/59875 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.858 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yin, G | en_HK |
dc.contributor.author | Song, QS | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2010-05-31T03:59:13Z | - |
dc.date.available | 2010-05-31T03:59:13Z | - |
dc.date.issued | 2009 | en_HK |
dc.identifier.citation | Journal Of Computational And Applied Mathematics, 2009, v. 223 n. 1, p. 240-262 | en_HK |
dc.identifier.issn | 0377-0427 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/59875 | - |
dc.description.abstract | 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 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.language | eng | en_HK |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam | en_HK |
dc.relation.ispartof | Journal of Computational and Applied Mathematics | en_HK |
dc.rights | Journal of Computational and Applied Mathematics. Copyright © Elsevier BV. | en_HK |
dc.subject | Barrier strategy | en_HK |
dc.subject | Dividend optimization | en_HK |
dc.subject | Stochastic approximation | en_HK |
dc.title | Stochastic optimization algorithms for barrier dividend strategies | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://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+strategies | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.cam.2008.01.007 | en_HK |
dc.identifier.scopus | eid_2-s2.0-54249121866 | en_HK |
dc.identifier.hkuros | 159284 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-54249121866&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 223 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 240 | en_HK |
dc.identifier.epage | 262 | en_HK |
dc.identifier.isi | WOS:000261041100019 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Yin, G=7201456006 | en_HK |
dc.identifier.scopusauthorid | Song, QS=13609322000 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.issnl | 0377-0427 | - |