Findings from East China Normal University in the Area of Stochastics Described (Optimal Dividend and Risk Control Strategies for an Insurer With Two Groups of Reinsurers): Science – Stochastics

2022 OCT 25 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Data detailed on Science - Stochastics have been presented. According to news originating from Shanghai, People’s Republic of China, by NewsRx correspondents, research stated, “This paper assumes that an insurer can control the dividend, reinsurance and refinancing strategies dynamically, and needs to bear proportional and fixed transaction costs. Different from previous literature, we assume that the insurer can buy reinsurance from two groups of reinsurers, i.e. the first group consists of m reinsurers and the second group consists of n reinsurers.”

Financial support for this research came from National Natural Science Foundation of China (NSFC).

Our news journalists obtained a quote from the research from East China Normal University, “The two groups of reinsurers have different risk attitudes and use the variance premium principle and the exponential premium principle in pricing, respectively. By using the optimal control methods, we obtain the optimal joint strategies for maximizing the insurance company’s value. The results prove that dividends should be paid according to the impulse strategy; refinancing should be considered if and only if the transaction costs are not too high and the surplus is null; the insurer should diversify risks to all reinsurers in the market simultaneously when the surplus is not too large. The proportion of risk ceded to each reinsurer depends on its quoted price.”

According to the news editors, the research concluded: “Finally, numerical examples and economic interpretations are provided to make illustrations.”

This research has been peer-reviewed.

For more information on this research see: Optimal Dividend and Risk Control Strategies for an Insurer With Two Groups of Reinsurers. Stochastics, 2022. Stochastics can be contacted at: Taylor & Francis Ltd, 2-4 Park Square, Milton Park, Abingdon OR14 4RN, Oxon, England.

The news correspondents report that additional information may be obtained from Kun Fan, East China Normal University, School of Statistics, Key Lab Adv Theory & Applicat Stat & Data Sci Moe, Shanghai, People’s Republic of China. Additional authors for this research include Dingjun Yao, Rui Xu and Gongpin Cheng.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1080/17442508.2022.2124114. 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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