Findings on Insurance Economics from L. Chen and Colleagues Provide New Insights (Constrained investment-reinsurance optimization with regime…

Findings on Insurance Economics from L. Chen and Colleagues Provide New Insights (Constrained investment-reinsurance optimization with regime switching under variance premium principle)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Data detailed on Economics - Insurance Economics have been presented. According to news reporting out of Shanghai, People's Republic of China, by VerticalNews editors, research stated, "This paper studies optimal investment and reinsurance problems for an insurer under regime-switching models. Two types of risk models are considered, the first being a Markov-modulated diffusion approximation risk model and the second being a Markov-modulated classical risk model."

Our news journalists obtained a quote from the research, "The insurer can invest in a risk-free bond and a risky asset, where the underlying models for investment assets are modulated by a continuous-time, finite-state, observable Markov chain. The insurer can also purchase proportional reinsurance to reduce the exposure to insurance risk. The variance principle is adopted to calculate the reinsurance premium, and Markov-modulated constraints on both investment and reinsurance strategies are considered. Explicit expressions for the optimal strategies and value functions are derived by solving the corresponding regime-switching Hamilton-Jacobi-Bellman equations."

According to the news editors, the research concluded: "Numerical examples for optimal solutions in the Markov-modulated diffusion approximation model are provided to illustrate our results."

For more information on this research see: Constrained investment-reinsurance optimization with regime switching under variance premium principle. Insurance Mathematics & Economics, 2016;71():253-267. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting L. Chen, East China Normal Univ, Sch Stat, Shanghai 200241, People's Republic of China. Additional authors for this research include L.Y. Qian, Y. Shen and W. Wang.

Keywords for this news article include: Shanghai, People's Republic of China, Asia, Insurance Economics, Economics.

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