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)

Full work available at URL https://doi.org/10.3934/MCRF.2023023

zbMATH Keywords

BSDEconvex risk measuresjump-diffusionnoisy memoryoptimal investmentregime-switching

Mathematics Subject Classification ID

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

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