New Findings in Technology Described from Shanghai University of International Business and Economics (Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer): Technology

2022 DEC 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Fresh data on technology are presented in a new report. According to news reporting out of Shanghai, People’s Republic of China, by NewsRx editors, research stated, “Considering the common interests of an insurer and a reinsurer, the optimal investment-reinsurance problem with derivatives trading is studied.”

Our news correspondents obtained a quote from the research from Shanghai University of International Business and Economics: “Suppose that both parties would invest a stock and a risk-free asset for capital appreciation, the insurer could purchase reinsurance and trade derivatives, the optimization problem is formulated by maximizing the expected exponential utility of two parties’ wealth processes. The corresponding HJB equations are built for optimal strategy through the dynamic programming principle. In addition, derivatives trading is evaluated based on the certainty-equivalence principle.”

According to the news reporters, the research concluded: “A numerical study directly illustrates how model parameters influence optimal strategies.”

For more information on this research see: Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer. Electronic Research Archive, 2022,30(12):4619-4634. The publisher for Electronic Research Archive is AIMS Press.

A free version of this journal article is available at https://doi.org/10.3934/era.2022234.

Our news editors report that more information may be obtained by contacting Xia Zhao, School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, People’s Republic of China. Additional authors for this research include Mengjie Li, Qinrui Si.

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