IEEE - Institute of Electrical and Electronics Engineers, Inc. - Singular control and impulse control with application to mutual insurance optimization

2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC)

Author(s): Bensoussan, A. ; Liu, J. ; Jiguang Yuan
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2009
Conference Location: Shanghai, China, China
Conference Date: 15 December 2009
Page(s): 8,512 - 8,517
ISBN (CD): 978-1-4244-3872-3
ISBN (Paper): 978-1-4244-3871-6
ISSN (CD): 0191-2216
ISSN (Paper): 0191-2216
DOI: 10.1109/CDC.2009.5399852
Regular:

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... View More

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