Treffer: Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms.

We reconsider the study of optimal dividend strategies in the Cramér-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the identification of the optimal bands available in the literature are very hard to implement and explicit numerical results are known for very few cases only. In this paper we put a gradient-based method into place which allows to determine optimal bands in more general situations. In addition, we adapt an evolutionary algorithm to this dividend problem, which is not as fast, but applicable in considerable generality, and can serve for providing a competitive benchmark. We illustrate the proposed methods in concrete examples, reproducing earlier results in the literature as well as establishing new ones for claim size distributions that could not be studied before. [ABSTRACT FROM AUTHOR]

Copyright of Scandinavian Actuarial Journal is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Volltext ist im Gastzugang nicht verfügbar. Login für vollen Zugriff.