Risk-based Optimal Investment and Proportional Reinsurance of an Insurer with Hidden Regime Switching  

作　　者：Xing-chun PENG Yi-jun HU 

机构地区：[1]School of Science,Wuhan University of Technology [2]School of Mathematics and Statistics,Wuhan University

出　　处：《Acta Mathematicae Applicatae Sinica》2016年第3期755-770,共16页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.11371284);the Fundamental Research Funds for the Central Universities(WUT:2015IVA066)

摘　　要：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.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.

关 键 词：INVESTMENT REINSURANCE hidden Markov chain convex risk measure backward stochastic differential equation 

分 类 号：O211.6[理学—概率论与数理统计] F840.69[理学—数学]