Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching

DOI10.1007/S10255-016-0602-9zbMath1360.91095OpenAlexW2514671150MaRDI QIDQ517215

Xing-Chun Peng, Hu, Yijun

Publication date: 23 March 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0602-9

zbMATH Keywords

hidden Markov chainbackward stochastic differential equationinvestmentreinsuranceconvex risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)

Related Items (2)

Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Risk minimization for an insurer with investment and reinsurance via g-expectation

Cites Work

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