# Risk-based optimal portfolio of an insurer with regime switching and noisy memory

@article{Kufakunesu2018RiskbasedOP, title={Risk-based optimal portfolio of an insurer with regime switching and noisy memory}, author={Rodwell Kufakunesu and Calisto Guambe and Lesedi Mabitsela}, journal={arXiv: Portfolio Management}, year={2018} }

In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum, stochastic differential delay game between the insurer and the market, with a convex risk measure of the terminal surplus and the Brownian delay surplus over a period $[T-\varrho,T]$. Then, by the BSDE approach, the game problem is solved. Finally, we derive… Expand

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