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.

中文翻译：

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进行制度转换的保险公司的最佳信贷投资和风险控制

本文研究了具有违约传染性和制度转换的保险公司的最优投资和风险控制问题。我们模型中的保险人将他/她的财富分配给多名违约股票和处于制度转换风险下的无风险债券。违约事件会影响投资组合中尚存股票的困境状态。保险公司的目的是通过选择最佳投资和风险控制策略来最大化终端财富的预期效用。我们为保险公司描述了违约股票和风险控制的最佳交易策略。通过开发一种截断技术，我们分析了递归HJB系统的全局（经典）解决方案的存在和唯一性。我们基于递归HJB系统的（经典）解证明了验证定理。