DocumentCode
3299241
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
fYear
2009
fDate
15-18 Dec. 2009
Firstpage
8512
Lastpage
8517
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;
fLanguage
English
Publisher
ieee
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
ISSN
0191-2216
Print_ISBN
978-1-4244-3871-6
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2009.5399852
Filename
5399852
Link To Document