A BSDE approach to optimal investment of an insurer with hidden regime switching
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Cites work
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- A stochastic differential game for optimal investment of an insurer with regime switching
- An HMM approach for optimal investment of an insurer
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimum consumption and portfolio rules in a continuous-time model
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio optimization under model uncertainty and BSDE games
- Portfolio optimization with unobservable Markov-modulated drift process
- Theory of stochastic differential equations with jumps and applications.
Cited in
(19)- Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
- A stochastic flows approach for asset allocation with hidden economic environment
- Expected utility maximization for an insurer with investment and risk control under inside information
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Dynamic credit investment in partially observed markets
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- A BSDE-based approach for the optimal reinsurance problem under partial information
- A BSDE approach to a risk-based optimal investment of an insurer
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Integration by parts and martingale representation for a Markov chain
- An HMM approach for optimal investment of an insurer
- Optimal debt ratio and consumption strategies in financial crisis
- Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
- Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
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