Stochastic optimization algorithms for barrier dividend strategies

This work focuses on finding optimal barrier policy for an insurance risk model when the dividends are paid to the share holders
according to a barrier strategy. A new approach based on stochastic optimization methods is developed. Compared with the existing
results in the literature, more general surplus processes are considered. Precise models of the surplus need not be known; only
noise-corrupted observations of the dividends are used. Using barrier-type strategies, a class of stochastic optimization algorithms
are developed. Convergence of the algorithm is analyzed; rate of convergence is also provided. Numerical results are reported to
demonstrate the performance of the algorithm