Findings from Zhejiang Gongshang University in the Area of Cluster Computing Described (Large Deviations for the Stochastic Present Value of Aggregate Net Claims With Infinite Variance In the Renewal Risk Model and Its Application In Risk …)

2019 MAR 05 (NewsRx) -- By a News Reporter-Staff News Editor at Computer News Today -- Data detailed on Computing - Cluster Computing have been presented. According to news reporting originating from Hangzhou, People’s Republic of China, by NewsRx correspondents, research stated, “In insurance, if the insurer continuously invests her wealth in risk-free and risky assets, then the price process of the investment portfolio can be described as a geometric present Levy process.”

Funders for this research include National Natural Science Foundation of China, Talent start-up fund of China Three Georges University.

Our news editors obtained a quote from the research from Zhejiang Gongshang University, “People always are interested in estimating the tail distribution of the stochastic present value of aggregate claims. In this paper, the large deviation for the stochastic present value of aggregate net claims, when the net claim size distribution is of Pareto type with finite expectation are obtained.”

According to the news editors, the research concluded: “We conduct some simulations to check the accuracy of the result we obtained and consider a portfolio optimization problem that maximizes the expected terminal wealth of the insurer subject to a solvency constraint.”

For more information on this research see: Large Deviations for the Stochastic Present Value of Aggregate Net Claims With Infinite Variance In the Renewal Risk Model and Its Application In Risk Management. Cluster Computing, 2018;21(1):997-1007. Cluster Computing can be contacted at: Springer, 233 Spring St, New York, NY 10013, USA. (Springer - www.springer.com; Cluster Computing - http://www.springerlink.com/content/1386-7857/)

The news editors report that additional information may be obtained by contacting T. Jiang, Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Zhejiang, People’s Republic of China. Additional authors for this research include M. Xiao, R.X. Ming and S. Cui.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s10586-017-1007-0. 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.

(Our reports deliver fact-based news of research and discoveries from around the world.)