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

DOI10.1080/14697681003591704zbMath1232.91346OpenAlexW2093874163MaRDI 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 programminginsurance companysurvival probabilitymodel uncertaintystochastic differential gamesHJB equationsoptimal investmentexponential utilityinsurance claim processMarkov regime-switching models

Mathematics Subject Classification ID

Related Items (30)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market ⋮ Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model ⋮ A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Robust control of parabolic stochastic partial differential equations under model uncertainty ⋮ Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ The investment and reinsurance game of insurers and reinsurers with default risk under CEV model ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ A class of non-zero-sum stochastic differential investment and reinsurance games ⋮ Pricing and managing risks of European-style options in a Markovian regime-switching binomial model ⋮ Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications ⋮ Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching ⋮ Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes ⋮ A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching ⋮ Multigrid methods for two‐player zero‐sum stochastic games ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach ⋮ Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty ⋮ Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ An HMM approach for optimal investment of an insurer ⋮ Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk

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