{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,3,31]],"date-time":"2023-03-31T20:40:56Z","timestamp":1680295256307},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"3","funder":[{"name":"National Science Foundation","award":["DMS-1207667"],"award-info":[{"award-number":["DMS-1207667"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015,7,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>This paper provides a survey\non several numerical approximation schemes for stochastic control\nproblems that arise from actuarial science and finance. The problems to be considered include\ndividend optimization, reinsurance game, and quantile hedging for\nguaranteed minimum death benefits. To better\ndescribe the complicated financial markets and their inherent uncertainty and randomness,\nthe so-called regime-switching models are adopted. Such models are more\nrealistic and versatile, however, far more complicated to handle.\nDue to the complexity of the construction, the regime-switching diffusion systems can only be solved\nin very special cases. In general, it is virtually impossible to obtain closed-form solutions.\nWe use Markov chain approximation techniques to construct discrete-time controlled Markov\nchains to approximate the value function and optimal controls.\nExamples are presented to illustrate the\napplicability of the numerical methods.<\/jats:p>","DOI":"10.1515\/cmam-2015-0015","type":"journal-article","created":{"date-parts":[[2015,6,11]],"date-time":"2015-06-11T03:52:15Z","timestamp":1433994735000},"page":"331-351","source":"Crossref","is-referenced-by-count":0,"title":["Some Recent Progress on Numerical Methods for Controlled Regime-Switching Models with\nApplications to Insurance and Risk Management"],"prefix":"10.1515","volume":"15","author":[{"given":"Zhuo","family":"Jin","sequence":"first","affiliation":[{"name":"Centre for Actuarial Studies, Department of Economics, The University of Melbourne, VIC 3010, Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Rebecca","family":"Stockbridge","sequence":"additional","affiliation":[{"name":"Department of Mathematics, Wayne State University, Detroit, Michigan 48202, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"George","family":"Yin","sequence":"additional","affiliation":[{"name":"Department of Mathematics, Wayne State University, Detroit, Michigan 48202, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2015,6,6]]},"container-title":["Computational Methods in Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/view\/journals\/cmam\/15\/3\/article-p331.xml","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/cmam-2015-0015\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/cmam-2015-0015\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,3,31]],"date-time":"2023-03-31T20:23:10Z","timestamp":1680294190000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/cmam-2015-0015\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,6,6]]},"references-count":0,"journal-issue":{"issue":"3","published-online":{"date-parts":[[2015,5,20]]},"published-print":{"date-parts":[[2015,7,1]]}},"alternative-id":["10.1515\/cmam-2015-0015"],"URL":"https:\/\/doi.org\/10.1515\/cmam-2015-0015","relation":{},"ISSN":["1609-4840","1609-9389"],"issn-type":[{"value":"1609-4840","type":"print"},{"value":"1609-9389","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,6,6]]}}}