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论文类型：期刊论文

发表时间：2018-06-01

发表刊物：APPLIED MATHEMATICAL MODELLING

收录刊物：SCIE、EI、CPCI-S、SSCI

卷号：58

页面范围：254-269

ISSN号：0307-904X

关键字：Stochastic differential game; Forward-backward stochastic differential equations; Maximum principle; Regular-singular control; Model uncertainty; Asymmetry informations

摘要：We consider optimal investment and dividend problem of an insurer, where the insurer decides dividend payment policy and invests his surplus into the financial market to manage his risk exposure. The insurer's control problem, with the presence of model uncertainty, is formulated as zero-sum, forward-backward games between insurer and market. In the framework of game theory, we develop the games between insurer and market to the more general forward-backward stochastic differential games, where the system is governed by forward-backward stochastic differential equations; the control processes are regular-singular controls; and the informations available to the two players are asymmetric partial informations. Then the maximum principles are established to give sufficient and necessary optimality conditions for the saddle points of the general forward-backward games. Finally, we apply the maximum principles to solve the optimal investment and dividend problem of an insurer under model uncertainty. (C) 2017 Elsevier Inc. All rights reserved.