A BSDE approach to optimal investment of an insurer with hidden regime-switching

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Abstract

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.

Original languageEnglish
Pages (from-to)1-18
Number of pages18
JournalStochastic Analysis and Applications
Volume31
Issue number1
DOIs
Publication statusPublished - 2013

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