Title :
Singular control and impulse control with application to mutual insurance optimization
Author :
Bensoussan, Alain ; Liu, John ; Yuan, Jiguang
Author_Institution :
Int. Center for Decision & Risk Anal., Univ. of Texas, Dallas, TX, USA
Abstract :
We consider a mutual insurance system whose reserve is determined by a Brownian motion. The controller tries to minimize the total cost by increase or reduce the reserve instantly. Both cases of zero and positive fixed cost are investigated. By applying the theory of stochastic control with QVI approach, we make the connection between singular control and impulse control. The procedures to solve these systems are also presented in this paper.
Keywords :
optimisation; singular optimal control; stochastic systems; variational techniques; Brownian motion; QVI approach; impulse control; mutual insurance optimization; quasivariational inequality; singular control; stochastic control; Centralized control; Control systems; Costs; Equations; Insurance; Inventory control; Motion control; Optimal control; Risk management; Stochastic processes;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5399852
