A stochastic differential game for optimal investment of an insurer with regime switching

By Robert J. R. Elliott, Tak Kuen Siu. 2011

59 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b16db6d6c51c2a4cf1f2da9701e294af06cb9688

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Guohui Guan
2. Zongxia Liang
3. George Yin
4. Fuke Wu
5. Zhuo Jin
6. Catherine Donnelly

In Economics and Econometrics

1. Guohui Guan
2. George Yin
3. Fuke Wu
4. Zongxia Liang
5. Zhuo Jin
6. Catherine Donnelly

In Finance

1. Zongxia Liang
2. Guohui Guan
3. George Yin
4. Fuke Wu
5. Zhuo Jin
6. Catherine Donnelly

Citations in the corpus

• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Elliott and Siu[12](2011) uses a game theory to solve the optimal investment for insurer when the interest rate depends on the state of an economy described by a continuous-time, finite-state, Markov chain.”
• Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013, methodology): “(i) We may use the semi-martingale representation of Elliott and Siu (2011) starting with the representation”