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

✍ Scribed by Siu, Tak Kuen

Book ID
125814525
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
180 KB
Volume
31
Category
Article
ISSN
0736-2994

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πŸ“œ SIMILAR VOLUMES

A BSDE approach to a risk-based optimal
A BSDE approach to a risk-based optimal investment of an insurer
✍ Robert J. Elliott; Tak Kuen Siu πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 357 KB

We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer's risk process is modeled b