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

Rodwell Kufakunesu, Calisto Guambe and Lesedi Mabitsela

Papers from arXiv.org

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.

Date: 2018-08, Revised 2019-03
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1808.04604

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