New Findings in Mathematical Methods Described from Hunan University (A Stochastic Stackelberg Differential Reinsurance and Investment Game With Delay In a Defaultable Market): Mathematics – Mathematical Methods

2021 NOV 25 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Fresh data on Mathematics - Mathematical Methods are presented in a new report. According to news reporting originating from Changsha, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we investigate a stochastic Stackelberg differential reinsurance and investment game problem with delay for a reinsurer and an insurer in a defaultable market, which consists of a risk-free asset, a risky asset and a defaultable bond. As the leader, the reinsurer can determine reinsurance premium price and investment strategy to maximize the expected exponential utility of its terminal wealth with delay.”

Financial supporters for this research include National Natural Science Foundation of China (NSFC), Natural Science Foundation of Hunan Province.

Our news editors obtained a quote from the research from Hunan University, “As the follower, the insurer can select reinsurance proportion and investment strategy to maximize the expected exponential utility of its terminal wealth with delay. By using the idea of backward induction and the dynamic programming approach, we solve the leader’s and follower’s optimization problems sequentially and derive the Stackelberg equilibrium strategy explicitly. Then, we provide the corresponding verification theorem. Finally, we present some numerical examples to illustrate the influence of model parameters on the equilibrium strategy and draw some economic interpretations from these results. We find that the pre-default value functions are higher than the post-default value functions and the influence of delay weight on equilibrium strategy depends on the length of delay time.”

According to the news editors, the research concluded: “Moreover, when the Stackelberg equilibrium is achieved in the interior case, the optimal reinsurance premium follows the variance premium principle and the influence of delay weight on the optimal reinsurance premium strategy is just opposite to that on other strategies.”

This research has been peer-reviewed.

For more information on this research see: A Stochastic Stackelberg Differential Reinsurance and Investment Game With Delay In a Defaultable Market. Mathematical Methods of Operations Research, 2021. Mathematical Methods of Operations Research can be contacted at: Springer Heidelberg, Tiergartenstrasse 17, D-69121 Heidelberg, Germany. (Springer - www.springer.com; Mathematical Methods of Operations Research - http://www.springerlink.com/content/1432-2994/)

The news editors report that additional information may be obtained by contacting Zhongbao Zhou, Hunan University, School of Business Administration, Changsha 410082, People’s Republic of China. Additional authors for this research include Yanfei Bai, Feimin Zhong, Helu Xiao and Rui Gao.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s00186-021-00760-y. 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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