New Technology Findings from Fujian Normal University Discussed (Robust Equilibrium Reinsurance and Investment Strategy for the Insurer and Reinsurer Under Weighted Mean-variance Criterion): Technology

2023 NOV 16 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators discuss new findings in Technology. According to news reporting from Fuzhou, People’s Republic of China, by NewsRx journalists, research stated, “This paper investigates the time-consistent robust optimal reinsurance problem for the insurer and reinsurer under weighted objective criteria. The joint objective criterion is obtained by weighting the mean-variance objectives of both the insurer and reinsurer.”

Funders for this research include National Natural Science Foundation of China (NSFC), Natural Science Foundation of Fujian Province.

The news correspondents obtained a quote from the research from Fujian Normal University, “Specifically, we assume that the net claim process is approximated by a diffusion model, and the insurer can purchase proportional reinsurance from the reinsurer. The insurer adopts the loss-dependent premium principle considering historical claims, while the reinsurance contract still uses the expected premium principle due to information asymmetry. Both the insurer and reinsurer can invest in risk-free assets and risky assets, where the risky asset price is described by the constant elasticity of variance model. Additionally, the ambiguity-averse insurer and ambiguity-averse reinsurer worry about the uncertainty of parameter estimation in the model, therefore, we obtain a robust optimization objective through the robust control method. By solving the corresponding extended Hamilton-Jacobi-Bellman equation, we derive the time-consistent robust equilibrium reinsurance and investment strategy and corresponding value function.”

According to the news reporters, the research concluded: “Finally, we examined the impact of various parameters on the robust equilibrium strategy through numerical examples.”

For more information on this research see: Robust Equilibrium Reinsurance and Investment Strategy for the Insurer and Reinsurer Under Weighted Mean-variance Criterion. Electronic Research Archive, 2023;31(10):6384-6411. Electronic Research Archive can be contacted at: Amer Inst Mathematical Sciences-aims, PO Box 2604, Springfield, Mo 65801-2604, United States.

Our news journalists report that additional information may be obtained by contacting Mi Chen, Fujian Normal University, School of Mathematics and Statistics, Fuzhou 350117, People’s Republic of China. Additional authors for this research include Yiming Su and Haiyan Liu.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3934/era.2023323. 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.

(Our reports deliver fact-based news of research and discoveries from around the world.)