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.
|Number of pages||18|
|Journal||Stochastic Analysis and Applications|
|Publication status||Published - 2013|