Optimal dividend and capital injection under self-exciting claims

Fuente: arXiv
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Autori principali: Aubert, Paulin, Chevalier, Etienne, Vath, Vathana Ly
Natura: Preprint
Pubblicazione: 2025
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author Aubert, Paulin
Chevalier, Etienne
Vath, Vathana Ly
author_facet Aubert, Paulin
Chevalier, Etienne
Vath, Vathana Ly
contents In this paper, we study an optimal dividend and capital-injection problem in a Cramér--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects often observed in insurance portfolios. We establish key analytical properties of the value function and characterise the optimal capital-injection strategy through an explicit threshold. We also show that the value function is the unique viscosity solution of the associated HJB variational inequality. For numerical purposes, we first compute a benchmark solution via a monotone finite-difference scheme with Howard's policy iteration. We then develop a reinforcement learning approach based on policy-gradient and actor-critic methods. The learned strategies closely match the PDE benchmark and remain stable across initial conditions. The results highlight the relevance of policy-gradient techniques for dividend optimisation under self-exciting claim dynamics and point toward scalable methods for higher-dimensional extensions.
format Preprint
id arxiv_https___arxiv_org_abs_2511_19701
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Optimal dividend and capital injection under self-exciting claims
Aubert, Paulin
Chevalier, Etienne
Vath, Vathana Ly
Optimization and Control
Probability
Risk Management
In this paper, we study an optimal dividend and capital-injection problem in a Cramér--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects often observed in insurance portfolios. We establish key analytical properties of the value function and characterise the optimal capital-injection strategy through an explicit threshold. We also show that the value function is the unique viscosity solution of the associated HJB variational inequality. For numerical purposes, we first compute a benchmark solution via a monotone finite-difference scheme with Howard's policy iteration. We then develop a reinforcement learning approach based on policy-gradient and actor-critic methods. The learned strategies closely match the PDE benchmark and remain stable across initial conditions. The results highlight the relevance of policy-gradient techniques for dividend optimisation under self-exciting claim dynamics and point toward scalable methods for higher-dimensional extensions.
title Optimal dividend and capital injection under self-exciting claims
topic Optimization and Control
Probability
Risk Management
url https://arxiv.org/abs/2511.19701