Recent Research from East China Normal University Highlight Findings in Management Science (Optimal Reinsurance And Investment Strategy With Two…

Recent Research from East China Normal University Highlight Findings in Management Science (Optimal Reinsurance And Investment Strategy With Two Piece Utility Function)

By a News Reporter-Staff News Editor at Science Letter -- Research findings on Science - Management Science are discussed in a new report. According to news reporting originating from Shanghai, People's Republic of China, by NewsRx correspondents, research stated, "This paper studies optimal reinsurance and investment strategies that maximize expected utility of the terminal wealth for an insurer in a stochastic market."

Our news editors obtained a quote from the research from East China Normal University, "The insurer's preference is represented by a two-piece utility function which can be regarded as a generalization of traditional concave utility functions. We employ martingale approach and convex optimization method to transform the dynamic maximization problem into an equivalent static optimization problem."

According to the news editors, the research concluded: "By solving the optimization problem, we derive explicit expressions of the optimal reinsurance and investment strategy and the optimal wealth process."

For more information on this research see: Optimal Reinsurance And Investment Strategy With Two Piece Utility Function. Journal of Industrial and Management Optimization, 2017;13(2):737-755. Journal of Industrial and Management Optimization can be contacted at: Amer Inst Mathematical Sciences-Aims, PO Box 2604, Springfield, MO 65801-2604, USA (see also Science - Management Science).

The news editors report that additional information may be obtained by contacting L. Chen, East China Normal Univ, Sch Stat, Shanghai 200241, People's Republic of China.

Keywords for this news article include: Shanghai, People's Republic of China, Asia, Management Science, Science, Investment and Finance, Finance and Investment, East China Normal University.

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