A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching

被引：16

作者：

Siu, Tak Kuen ^{[1
]}

机构：

[1] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2013年 / 31卷 / 01期

关键词：

Backward stochastic differential equations; Hidden regime switching; Insurance risk; Non-markovian framework; Optimal investment; 97M30; 91G80; 93E11; 93E20; VARIANCE PORTFOLIO SELECTION; UNCERTAINTY;

D O I：

10.1080/07362994.2012.727144

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：1 / 18

页数：18

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