Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
复制标题
隐性政权切换保险公司的基于风险的最优投资与比例再保险
DOI：
10.1007/s10255-016-0602-9
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发表时间：
2016-08
影响因子：
0.8
通讯作者：
Yijun Hu
中科院分区：
文献类型：
--
作者：
Xingchun Peng;Yijun Hu
In this paper, we study the optimal investment and proportional reinsurance strategy for an insurer in a hidden Markov regime-switching environment. A risk-based approach is considered, where the insurer aims at selecting an optimal strategy with a view to minimizing the risk described by a convex risk measure of its terminal wealth. We solve the problem in two steps. First, we employ the filtering theory to turn the optimization problem with partial observations into one with complete observations. Second, by using BSDEs with jumps, we solve the problem with complete observations.
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影响因子：
4.8
作者：
R. Elliott;T. Siu
通讯作者：
R. Elliott;T. Siu
影响因子：
1.3
作者：
T. Siu
通讯作者：
T. Siu
影响因子：
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作者：
G. Kallianpur
通讯作者：
G. Kallianpur
影响因子：
1.3
作者：
R. Elliott;T. Siu
通讯作者：
R. Elliott;T. Siu
影响因子：
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N. Berestycki;Christina Goldschmidt;Stefan Grosskinsky;Gr'egory Miermont
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N. Berestycki;Christina Goldschmidt;Stefan Grosskinsky;Gr'egory Miermont