A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
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DOI：
10.1080/07362994.2012.727144
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发表时间：
2013-01
影响因子：
1.3
通讯作者：
T. Siu
中科院分区：
文献类型：
--
作者：
T. Siu
We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modeling environment using a backward stochastic differential equation (BSDE) approach. Filtering theory is used to transform the optimal investment problem into one with complete observations. Using BSDEs with jumps, we discuss the problem with complete observations.
