New Management Science Data Have Been Reported by Investigators at Qufu Normal University (Optimal Mean-variance Reinsurance In a Financial Market With Stochastic Rate of Return)

2021 JUL 05 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Research findings on Science - Management Science are discussed in a new report. According to news reporting from Shandong, People’s Republic of China, by NewsRx journalists, research stated, “In this paper, we investigate the optimal investment and reinsurance strategies for a mean-variance insurer when the surplus process is represented by a Cramer-Lundberg model.”

Financial supporters for this research include National Natural Science Foundation of China (NSFC), Fundamental Research Funds for the Central Universities, Natural Science Foundation of Shandong Province.

The news correspondents obtained a quote from the research from Qufu Normal University, “It is assumed that the instantaneous rate of investment return is stochastic and follows an Ornstein-Uhlenbeck (OU) process, which could describe the features of bull and bear markets. To solve the mean-variance optimization problem, we adopt a backward stochastic differential equation (BSDE) approach and derive explicit expressions for both the efficient strategy and efficient frontier.”

According to the news reporters, the research concluded: “Finally, numerical examples are presented to illustrate our results.”

This research has been peer-reviewed.

For more information on this research see: Optimal Mean-variance Reinsurance In a Financial Market With Stochastic Rate of Return. Journal of Industrial & Management Optimization, 2021;17(4):1887-1912. Journal of Industrial & Management Optimization can be contacted at: Amer Inst Mathematical Sciences-aims, PO Box 2604, Springfield, MO 65801-2604, USA.

Our news journalists report that additional information may be obtained by contacting Zhongyang Sun, Qufu Normal University, School of Statistics, Qufu 273165, Shandong, People’s Republic of China. Additional authors for this research include Yingxu Tian and Junyi Guo.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3934/jimo.2020051. 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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