Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
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Publication:517215
DOI10.1007/s10255-016-0602-9zbMath1360.91095MaRDI QIDQ517215
Publication date: 23 March 2017
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-016-0602-9
hidden Markov chain; backward stochastic differential equation; investment; reinsurance; convex risk measure
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60H30: Applications of stochastic analysis (to PDEs, etc.)
62M02: Markov processes: hypothesis testing
91G10: Portfolio theory
Related Items
Optimal investment and risk control for an insurer with partial information in an anticipating environment, Risk minimization for an insurer with investment and reinsurance via g-expectation
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