A stochastic differential game for optimal investment of an insurer with regime switching (Q3169215): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic differential game for optimal investment of an insurer with regime switching |
scientific article |
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A stochastic differential game for optimal investment of an insurer with regime switching (English)
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28 April 2011
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optimal investment
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insurance company
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Markov regime-switching models
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model uncertainty
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insurance claim process
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stochastic differential games
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exponential utility
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survival probability
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dynamic programming
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HJB equations
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