Journal ArticleDOI
A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
TLDR
In this article, an optimal investment problem of an insurer in a hidden Markov, regime-switching, modeling environment using a backward stochastic differential equation (BSDE) approach is discussed.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.read more
Citations
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Journal ArticleDOI
Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods
Zhuo Jin,George Yin,Fuke Wu +2 more
TL;DR: In this article, a stochastic differential game model between two insurance companies who adopt the optimal reinsurance strategies to reduce the risk is developed, where the surplus is modeled by a regime-switching jump diffusion process.
Journal ArticleDOI
Dynamic credit investment in partially observed markets
TL;DR: In this article, the authors consider the problem of maximizing the expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account.
Journal ArticleDOI
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model
TL;DR: This paper studies an optimal portfolio selection problem in the presence of the Maximum Value-at-Risk (MVaR) constraint in a hidden Markovian regime-switching environment and forms the problem as a constrained utility maximization problem over a finite time horizon and reduces it to solving a Hamilton-Jacobi-Bellman (HJB) equation using the separation principle.
Journal ArticleDOI
Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
TL;DR: In this paper, the valuation of vulnerable options under a Markov-modulated jump-diffusion model is considered, where the option writer's asset value is subject to price pressure from other financial institutions due to distressed selling.
Journal ArticleDOI
A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment
TL;DR: In this paper, an optimal asset allocation problem for a quite general class of utility functions is discussed in a simple two-state Markovian regime-switching model, where the appreciation rate of a risky share changes over time according to the state of a hidden economy.
References
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Journal ArticleDOI
Optimum consumption and portfolio rules in a continuous-time model☆
TL;DR: In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.
Journal ArticleDOI
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
TL;DR: In this paper, the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model was examined, where his income is generated by returns on assets and these returns or instantaneous "growth rates" are stochastic.
Book ChapterDOI
Optimum Consumption and Portfolio Rules in a Continuous-Time Model*
TL;DR: In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.
Book ChapterDOI
Lifetime Portfolio Selection By Dynamic Stochastic Programming
TL;DR: In this paper, the optimal consumption-investment problem for an investor whose utility for consumption over time is a discounted sum of single-period utilities, with the latter being constant over time and exhibiting constant relative risk aversion (power-law functions or logarithmic functions), is discussed.
Book
Hidden Markov Models: Estimation and Control
TL;DR: This paper presents a meta-modelling procedure called Markov Model Processing that automates the very labor-intensive and therefore time-heavy and therefore expensive process of HMMEstimation.