Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints

DOI10.3934/MATH.2020449MaRDI QIDQ2132264zbMATH OpenOpenAlexFDO

Authors Hui Sun, Zhongyang Sun, Ya Huang

Publication date 27 April 2022

Published in AIMS Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/math.2020449

zbMATH Keywords

backward stochastic differential equationmean-variance criterionbounded mean oscillation martingaleopen-loop equilibrium strategynon-Markovian regime-switching

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous exponential martingales and BMO
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• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
• Mean-variance asset-liability management problem under non-Markovian regime-switching models
• Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
• Mean-variance portfolio optimization with state-dependent risk aversion
• Mean-variance portfolio selection under a non-Markovian regime-switching model
• Optimal investment and risk control policies for an insurer: expected utility maximization
• Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
• Time-consistent mean-variance asset-liability management with random coefficients
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(2)

• Maximizing the goal-reaching probability before drawdown with borrowing constraint
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model

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