New Mathematics Study Results Reported from Hunan University (Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests)

2020 FEB 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Fresh data on mathematics are presented in a new report. According to news reporting from Changsha, People’s Republic of China, by NewsRx journalists, research stated, “This paper investigates the generalized multi-period mean-variance investment-reinsurance optimization model in a discrete-time framework for a general insurance company that contains a reinsurer and an insurer.”

Financial supporters for this research include National Natural Science Foundation of China-Yunnan Joint Fund.

Our news reporters obtained a quote from the research from Hunan University: “The intertemporal restrictions and the common interests of the reinsurer and the insurer are considered. The common goal of the reinsurer and the insurer is to maximize the expectation of the weighted sum of their wealth processes and minimize the corresponding variance. Based on the game method, we obtain the Nash equilibrium investment-reinsurance strategies for the above-proposed model and find out the equilibrium strategies when unilateral interest is considered. In addition, the Nash equilibrium investment-reinsurance strategies are deduced under two special premium calculated principles (i.e., the expected value premium principle and the variance value premium principle). We theoretically study the effect of the intertemporal restrictions on Nash equilibrium investment-reinsurance strategies and find the effect depends on the value of some parameters, which differs from the previous researches that generally believed that intertemporal restrictions would make investors avoid risks.”

According to the news editors, the research concluded: “Finally, we perform corresponding numerical analyses to verify our theoretical results.”

For more information on this research see: Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests. Mathematics, 2020,8(1):139. (Mathematics - http://www.mdpi.com/journal/mathematics). The publisher for Mathematics is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/math8010139.

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

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