Findings in Insurance Reported from Chongqing University of Science and Technology (Optimal Reinsurance-investment Game for Two Insurers With Sahara Utilities Under Correlated Markets): Insurance

2023 AUG 01 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Current study results on Insurance have been published. According to news reporting from Chongqing, People’s Republic of China, by NewsRx journalists, research stated, “In this paper, we study the optimal reinsurance-investment game between two insurers with the same insurance business but different wealth and risk preferences. Assume that the insurers who have the symmetric asymptotic hyperbolic absolute risk aversion (SAHARA) utilities and the price of risky asset obeys the constant elasticity of variance (CEV) model.”

Funders for this research include General Program of Chongqing Natural Science Foundation, Science and technology project of Chongqing education commission, China Postdoctoral Science Foundation.

The news correspondents obtained a quote from the research from the Chongqing University of Science and Technology, “It is impossible to obtain closed-form solution of the optimal reinsurance-investment strategy due to the non-homothetic property and the complicity of SAHARA utilities. According to establish a strong duality relationship of the value function, we successfully propose an efficient dual control Monte Carlo method for computing the Nash equilibrium strategies.”

According to the news reporters, the research concluded: “Finally, numerical analysis is given to illustrate the impact of model parameters to Nash equilibrium strategies.”

This research has been peer-reviewed.

For more information on this research see: Optimal Reinsurance-investment Game for Two Insurers With Sahara Utilities Under Correlated Markets. The North American Journal of Economics and Finance, 2023;68. The North American Journal of Economics and Finance can be contacted at: Elsevier Science Inc, Ste 800, 230 Park Ave, New York, NY 10169, USA.

Our news journalists report that additional information may be obtained by contacting Yong He, Chongqing University of Science and Technology, Sch Math Phys & Data Sci, Chongqing 401331, People’s Republic of China. Additional authors for this research include Dengsheng Chen and Zhengyang Lu.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.najef.2023.101949. 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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