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