Central University of Finance and Economics Researchers Describe New Findings in Mathematics (Robust optimal investment-reinsurance strategies with the preferred reinsurance level of reinsurer): Mathematics

2022 APR 11 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators discuss new findings in mathematics. According to news reporting originating from Beijing, People’s Republic of China, by NewsRx correspondents, research stated, “This paper investigates robust equilibrium investment-reinsurance strategy for a mean variance insurer.”

Our news journalists obtained a quote from the research from Central University of Finance and Economics: “With a larger market share, a reinsurer has a greater say in negotiating reinsurance contracts and makes the decision to propose the preferred level of reinsurance and charges extra fees as a penalty for losses that deviate from the preferred level of reinsurance. Once the insurer receives a decision from the reinsurer, the insurer weighs its risk-bearing capacity against the cost of reinsurance in order to find the optimal investment-reinsurance strategy under the mean-variance criterion. The insurer who is ambiguity averse to jump risk and diffusion risk obtains a robust optimal investment-reinsurance strategy by dynamic programming principle. Moreover, the reinsurance strategy is no longer excess-of-loss reinsurance or proportional reinsurance. In particular, the insurer may purchase proportional reinsurance for different ranges of loss and the proportion depends on the extra charge rate, which is more consistent with market practice than the standard excess-of-loss reinsurance and proportional reinsurance. The optimal reinsurance policy depends on the degree of ambiguous aversion to jump risk and not on the degree of ambiguous aversion to diffusion risk.”

According to the news reporters, the research concluded: “Finally, several numerical experiments are presented to illustrate the impacts of key parameters on the value function and the optimal reinsurance contracts.”

For more information on this research see: Robust optimal investment-reinsurance strategies with the preferred reinsurance level of reinsurer. AIMS Mathematics, 2022,7(6):10024-10051. (AIMS Mathematics - http://www.aimspress.com/journal/Math). The publisher for AIMS Mathematics is AIMS Press.

A free version of this journal article is available at https://doi.org/10.3934/math.2022559.

Our news editors report that additional information may be obtained by contacting Wanlu Zhang, School of Insurance, Central University of Finance and Economics, Beijing, People’s Republic of China. Additional authors for this research include Hui Meng.

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