An HMM approach for optimal investment of an insurer
From MaRDI portal
Publication:2864634
DOI10.1002/rnc.1727zbMath1276.93084MaRDI QIDQ2864634
Tak Kuen Siu, Robert J. Elliott
Publication date: 26 November 2013
Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/rnc.1727
hidden Markov model; model uncertainty; insurance risk; optimal investment; robust filters; HJB dynamic programming
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
93E20: Optimal stochastic control
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