Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory

DOI10.3934/MCRF.2023023MaRDI QIDQ6556595zbMATH OpenFDO

Authors Calisto Guambe, Rodwell Kufakunesu, Lesedi Mabitsela

Publication date 17 June 2024

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

regime-switchingjump-diffusionnoisy memoryoptimal investmentconvex risk measuresBSDE

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

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