A BSDE-based approach for the optimal reinsurance problem under partial information
From MaRDI portal
Publication:2212153
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
stochastic controlbackward stochastic differential equationsoptimal reinsurancepartial informationstochastic factor risk models
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)
Related Items
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Exponential utility maximization in an incomplete market with defaults
- Utility indifference valuation for jump risky assets
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance/investment problems for general insurance models
- Point processes and queues. Martingale dynamics
- Aspects of risk theory
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Optimal proportional reinsurance and investment for stochastic factor models
- Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes
- Optimal Investment Problems with Marked Point Processes
- Nonlinear Filtering for Jump Diffusion Observations
- Risk minimizing hedging for a partially observed high frequency data model
- Backward Stochastic Differential Equations in Finance
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
