Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
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Date
Authors
Guambe, Calisto
Kufakunesu, Rodwell
Mabitsela, Lesedi
Journal Title
Journal ISSN
Volume Title
Publisher
American Institute of Mathematical Sciences
Abstract
Please read abstract in the article.
Description
Keywords
Optimal investment, Jump-diffusion, Regime-switching, Noisy memory, Convex risk measures, Backward stochastic differential equations (BSDE)
Sustainable Development Goals
None
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.