Data on Legal Issues Described by a Researcher at Jiaying University (Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon): Legal Issues

NewsRx Policy and Law Daily

2022 JUL 12 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Policy and Law Daily -- Current study results on agriculture have been published. According to news reporting out of Meizhou, People’s Republic of China, by NewsRx editors, research stated, “This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon.”

The news journalists obtained a quote from the research from Jiaying University: “The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or maturity, whichever comes earlier. The company is allowed to buy reinsurance contracts dynamically over the whole time horizon to cede its risk exposure with other reinsurance companies. This is a mixed singular-classical stochastic control problem, and the corresponding Hamilton-Jacobi-Bellman equation is a variational inequality with a fully nonlinear operator and subject to a gradient constraint. We obtain the [Formula: see text] smoothness of the value function and a comparison principle for its gradient function by the penalty approximation method so that one can establish an efficient numerical scheme to compute the value function. We find that the surplus-time space can be divided into three nonoverlapping regions by a risk-magnitude and time-dependent reinsurance barrier and a time-dependent dividend-payout barrier.”

According to the news reporters, the research concluded: “The insurance company should be exposed to a higher risk as its surplus increases, be exposed to the entire risk once its surplus upward crosses the reinsurance barrier, and pay out all its reserves exceeding the dividend-payout barrier. The estimated localities of these regions are also provided.”

For more information on this research see: Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon. Mathematics of Operations Research, 2022. The publisher for Mathematics of Operations Research is Institute for Operations Research and the Management Sciences (INFORMS).

A free version of this journal article is available at https://doi.org/10.1287/moor.2022.1276.

Our news editors report that additional information may be obtained by contacting Chonghu Guan, School of Mathematics, Jiaying University, Meizhou 514015, People’s Republic of China. Additional authors for this research include Zuo Quan Xu, Rui Zhou.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the authors of this research: Chonghu Guan (http://orcid.org/0000-0001-6755-3775), Zuo Quan Xu (http://orcid.org/0000-0001-6824-1634), Rui Zhou (http://orcid.org/0000-0002-7138-1803).