A BSDE-based approach for the optimal reinsurance problem under partial information

DOI10.1016/j.insmatheco.2020.07.009zbMath1452.91264arXiv1910.05999OpenAlexW3047402738MaRDI QIDQ2212153

Claudia Ceci, Matteo Brachetta

Publication date: 19 November 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.05999

zbMATH Keywords

stochastic controlbackward stochastic differential equationsoptimal reinsurancepartial informationstochastic factor risk models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ Optimal reinsurance via BSDEs in a partially observable model with jump clusters ⋮ Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ A continuous-time model of self-protection ⋮ Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ Optimal entry decision of unemployment insurance under partial information

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