Qufu Normal University Researchers Highlight Recent Research in Function Spaces (Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate)

2020 SEP 08 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New research on function spaces is the subject of a new report. According to news originating from Qufu Normal University by NewsRx correspondents, research stated, “In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin.”

Funders for this research include National Natural Science Foundation of China.

The news reporters obtained a quote from the research from Qufu Normal University: “We assume the preference of the insurer is of the CRRA form. The discounting factor is modeled as a geometric Brownian motion. We introduce the VaR control levels for the insurer to control its loss in reinsurance strategies. By solving the corresponding Hamilton-Jacobi-Bellman equation, we obtain the value function and the corresponding optimal strategy.”

According to the news editors, the research concluded: “Finally, we provide some numerical examples to illustrate the results and analyze the VaR control levels on the optimal strategy.”

For more information on this research see: Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate. Journal of Function Spaces, 2020,2020. (Journal of Function Spaces - https://www.hindawi.com/journals/jfs/). The publisher for Journal of Function Spaces is Hindawi Limited.

A free version of this journal article is available at https://doi.org/10.1155/2020/4051969.

Our news journalists report that more information may be obtained by contacting Yuzhen Wen, School of Statistics, Qufu Normal University, Jining Shandong 273165, People’s Republic of China. Additional authors for this research include Chuancun Yin.

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