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Authors: Siu, Tak Kuen
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212498
Description: We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modeling environment using a backward stochastic differential equation (BSDE) approach. Filtering theory is ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/197395
Description: A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measu ... More
Reviewed: Reviewed
Authors: Yang, Shen
Date: 2012
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/204666
Description: The aims of this paper are to establish necessary and sufficient stochastic maximum principles for optimal control of a jump-diffusion mean-field system and to apply the principles to discuss an impor ... More
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