Findings from Ningxia University in Applied Probability Research Reported (Optimal Reinsurance and Investment Strategy for an Insurer In a Model With Delay and Jumps)

2020 JUN 22 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Research findings on Mathematics - Applied Probability Research are discussed in a new report. According to news originating from Ningxia, People’s Republic of China, by NewsRx correspondents, research stated, “This paper studies an optimal excess-of-loss reinsurance and investment problem in a model with delay and jumps for an insurer, who can purchase excess-of-loss reinsurance and invest his surplus in a risk-free asset and a risky asset whose price is governed by a jump-diffusion model. The insurer’s surplus is described by a diffusion model, which is an approximation of the classical compound Poisson risk model.”

Financial supporters for this research include National Natural Science Foundation of P.R. China, Scientific Research Innovation Project of Jiangsu Province.

Our news journalists obtained a quote from the research from Ningxia University, “In particular, the wealth process of the insurer is modeled by a stochastic differential delay equation via introducing the performance-related capital inflow or outflow. Under the criterion for maximizing the expected exponential utility of the combination of terminal wealth and average performance wealth, optimal strategy and the corresponding value function are obtained by using the dynamic programming approach.”

According to the news editors, the research concluded: “Finally, numerical examples are provided to show the effects of model parameters on the optimal strategies and illustrate the economic meaning.”

For more information on this research see: Optimal Reinsurance and Investment Strategy for an Insurer In a Model With Delay and Jumps. Methodology And Computing In Applied Probability, 2020;22(2):777-801. Methodology And Computing In Applied Probability can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Methodology And Computing In Applied Probability - http://www.springerlink.com/content/1387-5841/)

The news correspondents report that additional information may be obtained from Q. Zhang, Ningxia University, School of Mathematics and Statistics, Yinchuan 750021, Ningxia, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s11009-019-09734-4. 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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