Analysis and optimization of a nonstationary mode in a probabilistic reserves control model

For a model with composite Poisson claim flow of variable intensity and with a discrete deterministic set of replenishment decision points situated on a finite time interval, we formulate and algorithmically solve the problem of optimal reserve management. We reduce this problem to a periodic problem in which all probabilistic and price characteristics are defined on the time semiaxis and are periodic with a given period. We give numerical examples.

Presented by the member of Editorial Board: A. I. Lyakhov