Data on Operations Science Described by Researchers at Sun Yat-sen University (Equilibrium Reinsurance-investment Strategies With Partial Information and Common Shock Dependence): Science – Operations Science

2021 NOV 12 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Current study results on Science - Operations Science have been published. According to news reporting out of Guangzhou, People’s Republic of China, by NewsRx editors, research stated, “In this paper, we study an optimal reinsurance-investment problem with partial information and common shock dependence under the mean-variance criterion for an insurer. The insurer has two dependent classes of insurance business, which are subject to a common shock.”

Financial supporters for this research include National Natural Science Foundation of China (NSFC), Ministry of Education, China - 111 Project, CGIAR.

Our news journalists obtained a quote from the research from Sun Yat-sen University, “We consider the optimal reinsurance-investment problem under complete information and partial information, respectively. We formulate the complete information problem within a game theoretic framework and seek the equilibrium reinsurance-investment strategy and equilibrium value function by solving an extended Hamilton-Jacobi-Bellman system of equations. For the partial information problem, we first transform it to a completely observable model by virtue of the filtering theory, then derive the equilibrium strategy and equilibrium value function by using the methods similar to those for the complete information problem.”

According to the news editors, the research concluded: “In addition, we illustrate the equilibrium reinsurance-investment strategies by numerical examples and discuss the impacts of model parameters on the equilibrium reinsurance-investment strategies for both the complete information and partial information cases.”

This research has been peer-reviewed.

For more information on this research see: Equilibrium Reinsurance-investment Strategies With Partial Information and Common Shock Dependence. Annals of Operations Research, 2021. Annals of Operations Research can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Annals of Operations Research - http://www.springerlink.com/content/0254-5330/)

Our news journalists report that additional information may be obtained by contacting Yan Zeng, Sun Yat-sen University, Lingnan University College, Guangzhou 510275, People’s Republic of China. Additional authors for this research include Junna Bi and Jun Cai.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s10479-021-04317-4. 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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