Karlsruhe Institute of Technology (KIT) Researcher Has Provided New Study Findings on Statistics and Risk Modeling (Bayesian optimal investment and reinsurance with dependent financial and insurance risks): Mathematics – Statistics and Risk Modeling

2022 MAY 23 (NewsRx) -- By a News Reporter-Staff News Editor at CDC & FDA Daily -- Researchers detail new data in statistics and risk modeling. According to news reporting originating from Karlsruhe, Germany, by NewsRx correspondents, research stated, “Major events like the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers.”

Our news journalists obtained a quote from the research from Karlsruhe Institute of Technology (KIT): “Thus, when optimal investment and reinsurance strategies have to be determined, it is important to consider models which reflect this dependence. In this paper, we make a proposal on how to generate dependence between the financial market and claim sizes in times of crisis and determine via a stochastic control approach an optimal investment and reinsurance strategy which maximizes the expected exponential utility of terminal wealth. Moreover, we also allow that the claim size distribution may be learned in the model.”

According to the news reporters, the research concluded: “We give comparisons and bounds on the optimal strategy using simple models. What turns out to be very surprising is that numerical results indicate that even a minimal dependence which is created in this model has a huge impact on the optimal investment strategy.”

For more information on this research see: Bayesian optimal investment and reinsurance with dependent financial and insurance risks. Statistics & Risk Modeling, 2022,39(1-2). The publisher for Statistics & Risk Modeling is Walter de Gruyter GmbH.

A free version of this journal article is available at https://doi.org/10.1515/strm-2021-0029.

Our news editors report that additional information may be obtained by contacting Nicole Bauerle, Department of Mathematics, Karlsruhe Institute of Technology (KIT), 76128 Karlsruhe, Germany. Additional authors for this research include Gregor Leimcke.

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