Singular control and impulse control with application to mutual insurance optimization

Alain Bensoussan; John Liu; Jiguang Yuan

doi:10.1109/CDC.2009.5399852

Singular control and impulse control with application to mutual insurance optimization

Alain Bensoussan, John Liu, Jiguang Yuan

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

2 Citations (Scopus)

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. ©2009 IEEE.

Original language	English
Title of host publication	Proceedings of the IEEE Conference on Decision and Control
Pages	8512-8517
DOIs	https://doi.org/10.1109/CDC.2009.5399852
Publication status	Published - 2009
Externally published	Yes
Event	48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 - Shanghai, China Duration: 15 Dec 2009 → 18 Dec 2009

Publication series

Name
ISSN (Print)	0191-2216

Conference

Conference	48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Place	China
City	Shanghai
Period	15/12/09 → 18/12/09

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10.1109/CDC.2009.5399852

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title = "Singular control and impulse control with application to mutual insurance optimization",

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. {\textcopyright}2009 IEEE.",

author = "Alain Bensoussan and John Liu and Jiguang Yuan",

year = "2009",

doi = "10.1109/CDC.2009.5399852",

language = "English",

isbn = "9781424438716",

pages = "8512--8517",

booktitle = "Proceedings of the IEEE Conference on Decision and Control",

note = "48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 ; Conference date: 15-12-2009 Through 18-12-2009",

}

Bensoussan, A, Liu, J & Yuan, J 2009, Singular control and impulse control with application to mutual insurance optimization. in Proceedings of the IEEE Conference on Decision and Control., 5399852, pp. 8512-8517, 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009, Shanghai, China, 15/12/09. https://doi.org/10.1109/CDC.2009.5399852

Singular control and impulse control with application to mutual insurance optimization. / Bensoussan, Alain; Liu, John; Yuan, Jiguang.
Proceedings of the IEEE Conference on Decision and Control. 2009. p. 8512-8517 5399852.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Singular control and impulse control with application to mutual insurance optimization

AU - Bensoussan, Alain

AU - Liu, John

AU - Yuan, Jiguang

PY - 2009

Y1 - 2009

N2 - 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. ©2009 IEEE.

AB - 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. ©2009 IEEE.

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U2 - 10.1109/CDC.2009.5399852

DO - 10.1109/CDC.2009.5399852

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9781424438716

SP - 8512

EP - 8517

BT - Proceedings of the IEEE Conference on Decision and Control

T2 - 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009

Y2 - 15 December 2009 through 18 December 2009

ER -

Singular control and impulse control with application to mutual insurance optimization

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