A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching

DOI10.1080/07362994.2012.727144zbMath1267.91087OpenAlexW1964774261MaRDI QIDQ4916397

Tak Kuen Siu

Publication date: 22 April 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.727144

zbMATH Keywords

backward stochastic differential equationsinsurance riskoptimal investmenthidden regime switchingnon-Markovian framework

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (14)

Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model ⋮ A stochastic flows approach for asset allocation with hidden economic environment ⋮ Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Dynamic credit investment in partially observed markets ⋮ Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Optimal debt ratio and consumption strategies in financial crisis ⋮ Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach ⋮ Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching ⋮ Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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