Optimal investment of an insurer with regime-switching and risk constraint

DOI10.1080/03461238.2012.750621zbMath1401.91169OpenAlexW2037553691MaRDI QIDQ4576870

Jingzhen Liu, Tak Kuen Siu, Ka-Fai Cedric Yiu

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.750621

zbMATH Keywords

stochastic differential gamemodel uncertaintyrisk constraintregime-switchingoptimal investmententropy risk

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Related Items (8)

A class of nonzero-sum investment and reinsurance games subject to systematic risks ⋮ The optimal mean variance problem with inflation ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Optimal reinsurance and dividend under model uncertainty ⋮ Optimal investment and reinsurance strategies under 4/2 stochastic volatility model ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model

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