A stochastic differential game for optimal investment of an insurer with regime switching

DOI10.1080/14697681003591704zbMath1232.91346MaRDI QIDQ3169215

Tak Kuen Siu, Robert J. Elliott

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003591704

zbMATH Keywords

dynamic programming; insurance company; survival probability; model uncertainty; stochastic differential games; HJB equations; optimal investment; exponential utility; insurance claim process; Markov regime-switching models

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

49N70: Differential games and control

91A15: Stochastic games, stochastic differential games

91G50: Corporate finance (dividends, real options, etc.)

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