New Findings from Anhui Normal University Update Understanding of Insurance Economics (Optimal investment and reinsurance for an insurer under…

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New Findings from Anhui Normal University Update Understanding of Insurance Economics (Optimal investment and reinsurance for an insurer under Markov-modulated financial market)

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Economics - Insurance Economics is now available. According to news reporting originating from Anhui, People's Republic of China, by VerticalNews correspondents, research stated, "This study examines optimal investment and reinsurance policies for an insurer with the classical surplus process. It assumes that the financial market is driven by a drifted Brownian motion with coefficients modulated by an external Markov process specified by the solution to a stochastic differential equation."

Financial supporters for this research include Natural Science Foundation of China, Education of Humanities and Social Science Fund Project, Natural Science Foundation of the Jiangsu Higher Education Institutions of China.

Our news editors obtained a quote from the research from Anhui Normal University, "The goal of the insurer is to maximize the expected terminal utility. This paper derives the Hamilton-Jacobi-Bellman (HJB) equation associated with the control problem using a dynamic programming method. When the insurer admits an exponential utility function, we prove that there exists a unique and smooth solution to the HJB equation. We derive the explicit optimal investment policy by solving the HJB equation. We can also find that the optimal reinsurance policy optimizes a deterministic function."

According to the news editors, the research concluded: "We also obtain the upper bound for ruin probability in finite time for the insurer when the insurer adopts optimal policies."

For more information on this research see: Optimal investment and reinsurance for an insurer under Markov-modulated financial market. Insurance Mathematics & Economics, 2017;74():7-19. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting L. Xu, Anhui Normal University, Sch Math & Comp Sci, Wuhu, Anhui, People's Republic of China. Additional authors for this research include L.M. Zhang and D.J. Yao.

Keywords for this news article include: Anhui, People's Republic of China, Asia, Insurance Economics, Economics, Investment and Finance, Finance and Investment, Anhui Normal University.