Risk-based optimal portfolio of an insurer with regime switching and noisy memory

2018/08/14 by Rodwell Kufakunesu, Kufakunesu, Rodwell, Calisto Guambe +3
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #math.OC #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1808.04604

21

arxiv created 2019/03/21 · arxiv updated 2019/03/25

Abstract

In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum, stochastic differential delay game between the insurer and the market, with a convex risk measure of the terminal surplus and the Brownian delay surplus over a period [T-\varrho,T]. Then, by the BSDE approach, the game problem is solved. Finally, we derive analytical solutions of the game problem, for a particular case of a quadratic penalty function and a numerical example is considered.

Related

• Robust optimal investment and risk control for an insurer with general insider information
• Time-inconsistent reinsurance and investment optimization problem with delay under random risk aversion
• A hybrid stochastic differential reinsurance and investment game with bounded memory
• Approximation of A Class of Non-Zero-Sum Investment and Reinsurance Games for Regime-Switching Jump-Diffusion Models
• Alpha-robust investment-reinsurance strategy for a mean-variance insurer with delay