Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215): Difference between revisions

@@ Property / author @@
-Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
-Normal rank
@@ Property / author @@
+Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M02
@@ Property / Mathematics Subject Classification ID: 62M02 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6696581
@@ Property / zbMATH DE Number: 6696581 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+investment
@@ Property / zbMATH Keywords: investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+reinsurance
@@ Property / zbMATH Keywords: reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+hidden Markov chain
@@ Property / zbMATH Keywords: hidden Markov chain / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convex risk measure
@@ Property / zbMATH Keywords: convex risk measure / rank @@
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@@ Property / zbMATH Keywords @@
+backward stochastic differential equation
@@ Property / zbMATH Keywords: backward stochastic differential equation / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10255-016-0602-9
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+W2514671150
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Portfolio optimization with unobservable Markov-modulated drift process
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@@ Property / cites work @@
+PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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@@ Property / cites work @@
+Q5505177
@@ Property / cites work: Q5505177 / rank @@
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@@ Property / cites work @@
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@@ Property / cites work: Q3200962 / rank @@
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@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
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@@ Property / cites work @@
+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+Normal rank
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+A BSDE approach to a risk-based optimal investment of an insurer
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+An HMM approach for optimal investment of an insurer
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Q3908216
@@ Property / cites work: Q3908216 / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
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+A BSDE approach to risk-based asset allocation of pension funds with regime switching
+Normal rank
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+A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+On optimal proportional reinsurance and investment in a Markovian regime-switching economy
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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@@ links / mardi / name / links / mardi / name @@
+Publication:517215