Optimal Investment And Reinsurance Strategies In Unobservable And Regime-switching Model

This paper considers the optimal investment and reinsurance strategies for an insurer under regime switching.The surplus process of the insurer is approximated by a Brownian motion with drift.The financial market consists of one risk-free asset and one risky asset,whose returns depend on an unobservable regime variable of the economy.We establish a model for the optimal investment and reinsurance strategies of an investor with exponential utility.In this paper,improving the traditional regime switching model and computing this optimal control problem,this paper provides the continuous optimal strategies.