Findings from Qufu Normal University in Function Spaces Reported (Optimal Expected Utility of Dividend Payments With Proportional Reinsurance Under Var Constraints and Stochastic Interest Rate)

2020 SEP 24 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Data detailed on Function Spaces have been presented. According to news reporting out of Shandong, People’s Republic of China, by NewsRx editors, research stated, “In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form.”

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

Our news journalists obtained a quote from the research from Qufu Normal University, “The discounting factor is modeled as a geometric Brownian motion. We introduce the VaR control levels for the insurer to control its loss in reinsurance strategies. By solving the corresponding Hamilton-Jacobi-Bellman equation, we obtain the value function and the corresponding optimal strategy.”

According to the news editors, the research concluded: “Finally, we provide some numerical examples to illustrate the results and analyze the VaR control levels on the optimal strategy.”

For more information on this research see: Optimal Expected Utility of Dividend Payments With Proportional Reinsurance Under Var Constraints and Stochastic Interest Rate. Journal of Function Spaces, 2020;2020():. Journal of Function Spaces can be contacted at: Hindawi Ltd, Adam House, 3RD Flr, 1 Fitzroy Sq, London, W1T 5HF, England.

Our news journalists report that additional information may be obtained by contacting Yuzhen Wen, Qufu Normal University, School of Statistics, Jining 273165, Shandong, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1155/2020/4051969. 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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