An HMM approach for optimal investment of an insurer

DOI10.1002/rnc.1727zbMath1276.93084OpenAlexW2031037052MaRDI QIDQ2864634

Tak Kuen Siu, Robert J. Elliott

Publication date: 26 November 2013

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/rnc.1727

zbMATH Keywords

hidden Markov modelmodel uncertaintyinsurance riskoptimal investmentrobust filtersHJB dynamic programming

Mathematics Subject Classification ID

Related Items (15)

Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model ⋮ A stochastic flows approach for asset allocation with hidden economic environment ⋮ Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Dynamic credit investment in partially observed markets ⋮ Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching ⋮ A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching ⋮ DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING ⋮ Optimal reinsurance and investment with unobservable claim size and intensity ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk

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