کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4664620 | 1345302 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markov-modulated mean-variance problem for an insurer
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Markov-modulated mean-variance problem for an insurer Markov-modulated mean-variance problem for an insurer](/preview/png/4664620.png)
چکیده انگلیسی
In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion process whose diffusion and drift parameters switch over time according to the same Markov chain. We study the Markov-modulated mean-variance problem for the insurer and derive explicitly the closed form of the efficient strategy and efficient frontier. In the case of no regime switching, we can see that the efficient frontier in our paper coincides with that of [10] when there is no pure jump.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Acta Mathematica Scientia - Volume 31, Issue 3, May 2011, Pages 1051-1061
Journal: Acta Mathematica Scientia - Volume 31, Issue 3, May 2011, Pages 1051-1061