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- W4289694557 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." @default.
- W4289694557 created "2022-08-04" @default.
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- W4289694557 date "2018-08-14" @default.
- W4289694557 modified "2023-09-25" @default.
- W4289694557 title "Risk-based optimal portfolio of an insurer with regime switching and noisy memory" @default.
- W4289694557 doi "https://doi.org/10.48550/arxiv.1808.04604" @default.
- W4289694557 hasPublicationYear "2018" @default.
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