Optimal investment-reinsurance with dynamic risk constraint and regime switching

DOI10.1080/03461238.2011.602477zbMath1280.91093MaRDI QIDQ2868609

Wai-Ki Ching, Ka-Fai Cedric Yiu, Tak Kuen Siu, Jingzhen Liu

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.602477

zbMATH Keywords

dynamic programming; utility maximization; optimal reinsurance; investment; regime-switching; maximal conditional value at risk; regime-switching Hamilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C90: Applications of mathematical programming

62M02: Markov processes: hypothesis testing

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