English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper, we consider the problem of optimal reinsurance and investment in a multiple risky assets market with appreciation rate driven by a hidden Markov chain. The surplus of the insurance company is modeled by a Brownian motion with drift and the objective function is the expected exponential utility. By using the filtering theory, we establish the separation principle and reduce the problem to the complete observed case. Through the dynamic programming approach and the Girsanov change of measure, we characterize the value function as the unique viscosity solution of a linear parabolic partial differential equation and obtain the Feynman-Kac representation of the value function.

On optimal proportional reinsurance and investment in a partial Markovian regime-switching economy