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Optimal reinsurance and investment with unobservable claim size and intensity
Recurso electrónico / electronic resource
MARC record
Tag12Value
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001  MAP20140017829
003  MAP
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100  ‎$0‎​MAPA20120013513‎$a‎​Liang, Zhibin ‌
24510‎$a‎​Optimal reinsurance and investment with unobservable claim size and intensity‎$c‎​Zhibin Liang, Erhan Bayraktar
520  ‎$a‎​We consider the optimal reinsurance and investment problem in an unobservable Markov-modulated compound Poisson risk model, where the intensity and jump size distribution are not known but have to be inferred from the observations of claim arrivals. Using a recently developed result from filtering theory, we reduce the partially observable control problem to an equivalent problem with complete observations. Then using stochastic control theory, we get the closed form expressions of the optimal strategies which maximize the expected exponential utility of terminal wealth. In particular, we investigate the effect of the safety loading and the unobservable factors on the optimal reinsurance strategies. With the help of a generalized Hamilton-Jacobi-Bellman equation where the derivative is replaced by Clarke's generalized gradient as in Bäuerle and Rieder (2007), we characterize the value function, which helps us verify that the strategies we constructed are optimal
650 4‎$0‎​MAPA20080576783‎$a‎​Modelo de Markov ‌
650 4‎$0‎​MAPA20080567118‎$a‎​Reclamaciones ‌
650 4‎$0‎​MAPA20080552367‎$a‎​Reaseguro ‌
650 4‎$0‎​MAPA20080602437‎$a‎​Matemática del seguro ‌
650 4‎$0‎​MAPA20080589875‎$a‎​Control estocástico ‌
700  ‎$0‎​MAPA20090000537‎$a‎​Bayraktar, Erhan ‌
7730 ‎$w‎​MAP20077100574‎$t‎​Insurance : mathematics and economics‎$d‎​Oxford : Elsevier, 1990-‎$x‎​0167-6687‎$g‎​03/03/2014 Volumen 55 Número 1 - marzo 2014 , p. 156-166