Report Summarizes Operations Science Study Findings from Chengdu University of Information and Technology (Robust Equilibrium Investment and Reinsurance Strategy With Bounded Memory and Common Shock Dependence): Science – Operations Science

2022 MAR 31 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Current study results on Science - Operations Science have been published. According to news reporting originating in Chengdu, People’s Republic of China, by NewsRx editors, the research stated, “In this paper, we consider the robust investment and reinsurance problem with bounded memory and risk co-shocks under a jump-diffusion risk model. The insurer is assumed to be ambiguity-averse and make the optimal decision under the mean-variance criterion.”

Financial support for this research came from Chengdu University of Information Technology Introducing Talents to Launch Scientific Research.

The news reporters obtained a quote from the research from the Chengdu University of Information and Technology, “The insurance market is described by two-dimensional dependent claims while the risky asset is depicted by the jump-diffusion model. By introducing the performance in the past, we derive the wealth process depicted by a stochastic delay differential equation (SDDE). Applying the stochastic control theory under the game-theoretic framework, together with stochastic control theory with delay, the robust equilibrium investment-reinsurance strategy and the corresponding robust equilibrium value function are derived.”

According to the news reporters, the research concluded: “Furthermore, some numerical examples are provided to illustrate the effect of market parameters on the optimal investment and reinsurance strategy.”

This research has been peer-reviewed.

For more information on this research see: Robust Equilibrium Investment and Reinsurance Strategy With Bounded Memory and Common Shock Dependence. RAIRO - Operations Research, 2022;56(1):77-99. RAIRO - Operations Research can be contacted at: Edp Sciences S A, 17, Ave Du Hoggar, Pa Courtaboeuf, Bp 112, F-91944 Les Ulis Cedex A, France. (EDP Sciences - http://publications.edpsciences.org/; RAIRO - Operations Research - www.rairo-ro.org)

Our news correspondents report that additional information may be obtained by contacting Sheng Li, Chengdu University of Information and Technology, School of Statistics, Chengdu 610103, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1051/ro/2021182. 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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