Reports Outline Operations Science Findings from Chinese Academy of Sciences (Optimal investment and risk control for an insurer with stochastic…

Insurance Weekly News

Reports Outline Operations Science Findings from Chinese Academy of Sciences (Optimal investment and risk control for an insurer with stochastic factor)

By a News Reporter-Staff News Editor at Insurance Weekly News -- New research on Science - Operations Science is the subject of a report. According to news reporting originating in Anhui, People's Republic of China, by VerticalNews journalists, research stated, "We study an optimal investment and risk control problem for an insurer under stochastic factor."

Financial supporters for this research include NSF of China, The Key Research Program of Frontier Sciences, CAS, Fundamental Research Funds for the Central Universities.

The news reporters obtained a quote from the research from the Chinese Academy of Sciences, "The insurer allocates his wealth across a riskless bond and a risky asset whose drift and volatility depend on a factor process. The risk process is modeled by a jump-diffusion with state-dependent jump measure."

According to the news reporters, the research concluded: "By maximizing the expected power utility of the terminal wealth, we characterize the optimal strategy of investment and risk control, analyze classical solutions of HJB PDE and prove the verification theorem."

For more information on this research see: Optimal investment and risk control for an insurer with stochastic factor. Operations Research Letters, 2017;45(3):259-265. Operations Research Letters can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands. (Elsevier - www.elsevier.com; Operations Research Letters - www.journals.elsevier.com/operations-research-letters/)

Our news correspondents report that additional information may be obtained by contacting L.J. Bo, Chinese Academy Sci, Wu Wen Tsun Key Lab Math, Hefei 230026, Anhui, People's Republic of China.

Keywords for this news article include: Anhui, People's Republic of China, Asia, Operations Science, Science, Chinese Academy of Sciences.