Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints (Q2132264)
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scientific article; zbMATH DE number 7515116
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| English | Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints |
scientific article; zbMATH DE number 7515116 |
Statements
Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints (English)
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27 April 2022
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mean-variance criterion
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non-Markovian regime-switching
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open-loop equilibrium strategy
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bounded mean oscillation martingale
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backward stochastic differential equation
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0.7947019934654236
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0.7911680936813354
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0.7893314361572266
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0.7888632416725159
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