Findings from Nanjing Normal University Reveals New Findings on Mathematical Methods (Optimal Mean-variance Investment/reinsurance With Common Shock In a Regime-switching Market)

2019 OCT 11 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- New research on Mathematics - Mathematical Methods is the subject of a report. According to news reporting originating from Jiangsu, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial market. In our model, the two claim-number processes are correlated through a common shock component, and the market mode is classified into a finite number of regimes.”

Financial supporters for this research include National Natural Science Foundation of China, 111 Project, Jiangsu Natural Science Foundation, Research Grants Council of the Hong Kong Special Administrative Region, China.

Our news editors obtained a quote from the research from Nanjing Normal University, “We also assume that the insurer can purchase proportional reinsurance and invest its surplus in a financial market, and that the values of the model parameters depend on the market mode. Using the techniques of stochastic linear-quadratic control, under the mean-variance criterion, we obtain analytic expressions for the optimal investment and reinsurance strategies, and derive closed-form expressions for the efficient strategies and the efficient frontiers which are based on the solutions to some systems of linear ordinary differential equations.”

According to the news editors, the research concluded: “Finally, we carry out a numerical study for illustration purpose.”

For more information on this research see: Optimal Mean-variance Investment/reinsurance With Common Shock In a Regime-switching Market. Mathematical Methods of Operations Research, 2019;90(1):109-135. Mathematical Methods of Operations Research can be contacted at: Springer Heidelberg, Tiergartenstrasse 17, D-69121 Heidelberg, Germany. (Springer - www.springer.com; Mathematical Methods of Operations Research - http://www.springerlink.com/content/1432-2994/)

The news editors report that additional information may be obtained by contacting Z.B. Liang, Nanjing Normal University, School of Mathematical Science, Nanjing 210023, Jiangsu, People’s Republic of China. Additional authors for this research include J.N. Bi and K.C. Yuen.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s00186-018-00657-3. 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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