Data on Investment Reported by Researchers at University of Amsterdam (Pareto-optimal Reinsurance With Default Risk and Solvency Regulation): Investment

2023 MAR 21 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Policy and Law Daily -- A new study on Investment is now available. According to news reporting originating from Amsterdam, Netherlands, by NewsRx correspondents, research stated, “This paper studies a Pareto-optimal reinsurance problem when the contract is subject to default of the reinsurer. We assume that the reinsurer can invest a share of its wealth in a risky asset and default occurs when the reinsurer’s end-of-period wealth is insufficient to cover the indemnity.”

Financial supporters for this research include Natural Sciences and Engineering Research Council of Canada (NSERC), University of Calgary.

Our news editors obtained a quote from the research from the University of Amsterdam, “We show that without the solvency regulation, the optimal indemnity function is of excess-of-loss form, regardless of the investment decision. Under the solvency regulation constraint, by assuming the investment decision remains unchanged, the optimal indemnity function is characterized element-wisely. Partial results are derived when both the indemnity function and investment decision are impacted by the solvency regulation.”

According to the news editors, the research concluded: “Numerical examples are provided to illustrate the implications of our results and the sensitivity of solution to the model parameters.”

This research has been peer-reviewed.

For more information on this research see: Pareto-optimal Reinsurance With Default Risk and Solvency Regulation. Probability in the Engineering and Informational Sciences, 2023. Probability in the Engineering and Informational Sciences can be contacted at: Cambridge Univ Press, 32 Avenue Of The Americas, New York, NY 10013-2473, USA. (Cambridge University Press - www.cambridge.org; Probability in the Engineering and Informational Sciences - http://journals.cambridge.org/action/displayJournal?jid=PES)

The news editors report that additional information may be obtained by contacting Tim J. J. Boonen, University of Amsterdam, Amsterdam School of Economics, Nl-1001 Nj Amsterdam, Netherlands.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1017/S0269964822000079. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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