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

dc.contributor.author	Guambe, Calisto
dc.contributor.author	Kufakunesu, Rodwell
dc.contributor.author	Mabitsela, Lesedi
dc.date.accessioned	2024-02-26T13:03:00Z
dc.date.available	2024-02-26T13:03:00Z
dc.date.issued	2024-06
dc.description.abstract	Please read abstract in the article.	en_US
dc.description.department	Mathematics and Applied Mathematics	en_US
dc.description.embargo	2024-07-01
dc.description.librarian	hj2024	en_US
dc.description.sdg	None	en_US
dc.description.uri	https://www.aimsciences.org/journal/2156-8472	en_US
dc.identifier.citation	Calisto Guambe, Rodwell Kufakunesu, Lesedi Mabitsela. Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory. Mathematical Control and Related Fields, 2024, 14(2): 747-768. doi: 10.3934/mcrf.2023023.	en_US
dc.identifier.issn	2156-8472 (print)
dc.identifier.issn	2156-8499 (online)
dc.identifier.other	10.3934/mcrf.2023023
dc.identifier.uri	http://hdl.handle.net/2263/94940
dc.language.iso	en	en_US
dc.publisher	American Institute of Mathematical Sciences	en_US
dc.rights	© 2023 American Institute of Mathematical Sciences.	en_US
dc.subject	Optimal investment	en_US
dc.subject	Jump-diffusion	en_US
dc.subject	Regime-switching	en_US
dc.subject	Noisy memory	en_US
dc.subject	Convex risk measures	en_US
dc.subject	Backward stochastic differential equations (BSDE)	en_US
dc.title	Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory	en_US
dc.type	Postprint Article	en_US