局部信息马尔科夫体制转换市场下最优再保险与投资

In this paper, we consider the problem of optimal reinsurance and investmentin a multiple risky assets market with appreciation rate driven by a hiddenMarkov chain. The surplus of the insurance company is modeled by a Brownianmotion with drift and the objective function is the expected exponential utility. Byusing the filtering theory, we establish the separation principle and reduce the problemto the complete observed case. Through the dynamic programming approach andthe Girsanov change of measure, we characterize the value function as the uniqueviscosity solution of a linear parabolic partial differential equation and obtain theFeynman-Kac representation of the value function.