کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076572 | 1477220 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal reinsurance and investment with unobservable claim size and intensity
ترجمه فارسی عنوان
سرمایه گذاری بهینه و سرمایه گذاری با اندازه و شدت ادعای ناخواسته
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 55, March 2014, Pages 156-166
Journal: Insurance: Mathematics and Economics - Volume 55, March 2014, Pages 156-166
نویسندگان
Zhibin Liang, Erhan Bayraktar,