Optimal credit investment and risk control for an insurer with regime-switching

Abstract

This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under regime-switching risk. Default events have an impact on the distress state of the surviving stocks in the portfolio. The aim of the insurer is to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. We characterize the optimal trading strategy of defaultable stocks and risk control for the insurer. By developing a truncation technique, we analyze the existence and uniqueness of global (classical) solutions to the recursive HJB system. We prove the verification theorem based on the (classical) solutions of the recursive HJB system. AMS 2000 subject classifications: 3E20, 60J20.

The Influence of Universal and Specific Risks on Quality Management During Implementation of Large-Scale Russian Investment Projects in the Conditions of Uncertainty

“…The problem of risks of the realization of large scale investment projects as a tool of the infrastructural development of territories (such as, for instance, La Manche tunnel, Øresund Bridge between Denmark and Sweden, Vasco da Gama bridge in Portugal and others) was thoroughly studied in the works of the scientists: (Achten et al, 2019;Bayrak, 2018;Bogoviz & Sergi, 2018;Brazill-Boast et al, 2018;Fragkos& Kouvaritakis, 2018;Genoud, 2018;Moreda, 2018;Morozova et al, 2018;Osabuohien et al, 2019;Popkova, 2019); Sergi et al, 2019;Zheng et al, 2019). The problems of risks identification, practical aspects of their realization in historic and current territorial megaprojects and methodological aspects of the assessment and leveling of the risks at different stages of the life cycle of a large scale investment project were studied in the works of the scientists: (Bi & Cai, 2019); Bo et al, 2019;Clark, 2019;Díaz et al, 2019;D'Orazio & Popoyan, 2019;Huang, 2019;Huber & Huber, 2019;Wan et al, 2019;Zhang & Chen, 2019).…”