Findings in Discrete and Continuous Dynamical Systems Reported from Southwest Jiaotong University (Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model): Discrete and Continuous Dynamical Systems

2022 FEB 08 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on discrete and continuous dynamical systems. According to news reporting originating from Southwest Jiaotong University by NewsRx correspondents, research stated, “This paper considers the reinsurance-investment problem with interest rate risks under constant relative risk aversion and constant absolute risk aversion preferences, respectively.”

Funders for this research include National Natural Science Foundation of China Funder DOI: 10.13039/501100001809 Award: 72073109; 21XJC790003; 19CTJ007; KYTZ202190.

Our news correspondents obtained a quote from the research from Southwest Jiaotong University: “Stochastic control theory and dynamic programming principle are applied to investigate the optimal proportional reinsurance-investment strategy for an insurer under the Vasicek stochastic interest rate model. Solving the corresponding Hamilton-Jacobi-Bellman equation via the Legendre transform approach, the optimal premium allocation strategies maximizing the expected utilities of terminal wealth are derived. In addition, several sensitivity analyses and numerical illustrations are given to analyze the impacts of different risk preferences and interest rate fluctuation on the optimal strategies.”

According to the news reporters, the research concluded: “We find that the asset allocation and reinsurance ratio of the insurer are correlated with risk preference coefficient and interest rate fluctuation, and the insurance company may adjust the reinsurance-investment strategy to deal with interest rate risk.”

For more information on this research see: Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model. Discrete Dynamics in Nature and Society, 2022,2022. (Discrete Dynamics in Nature and Society - https://www.hindawi.com/journals/ddns). The publisher for Discrete Dynamics in Nature and Society is Hindawi Limited.

A free version of this journal article is available at https://doi.org/10.1155/2022/3974488.

Our news editors report that more information may be obtained by contacting Hanlei Hu, Southwest Jiaotong University.

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