Reports Summarize Management Science Findings from Ningbo University (Optimal Stop-loss Reinsurance With Joint Utility Constraints)

2021 MAR 03 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Investigators discuss new findings in Science - Management Science. According to news reporting from Ningbo, People’s Republic of China, by NewsRx journalists, research stated, “We investigate the optimal reinsurance problems in this paper, specifically, the stop-loss strategies that can bring mutual benefit to both the insurance company and the reinsurance company. The utility improvement constraints are adopted by both contracting parties to guarantee that a reinsurance contract will bring higher expected utilities of wealth to the two participants.”

Financial supporters for this research include National Natural Science Foundation of China (NSFC), Natural Science Foundation of Zhejiang Province, “Shuguang Program” - Shanghai Education Development Foundation, Shanghai Municipal Education Commission (SHMEC), Humanity and Social Science Youth Foundation of the Ministry of Education of China, National Social Science Foundation Key Program, Ministry of Education, China - 111 Project, Faculty Research Grant of University of Melbourne.

The news correspondents obtained a quote from the research from Ningbo University, “We also introduce five risk criteria that reflect the interests of both parties. Under each optimality criterion, we obtain explicit expressions of optimal stop-loss retentions and the corresponding optimised value of objective functions. The upper and lower bounds of expected utility increments under the optimal stop-loss retentions are provided. In the numerical example, we analyse the expected utility improvements under the criterion of minimising total Value-at-Risk.”

According to the news reporters, the research concluded: “Notable increases in the lower bound of total utility increments are observed after adopting the joint utility improvement constraints.”

This research has been peer-reviewed.

For more information on this research see: Optimal Stop-loss Reinsurance With Joint Utility Constraints. Journal of Industrial & Management Optimization, 2021;17(2):841-868. Journal of Industrial & Management Optimization can be contacted at: Amer Inst Mathematical Sciences-aims, PO Box 2604, Springfield, MO 65801-2604, USA.

Our news journalists report that additional information may be obtained by contacting Wei Wang, Ningbo University, Dept. of Financial Engineering, 818 Fenghua Rd, Ningbo 315211, People’s Republic of China. Additional authors for this research include Nan Zhang, Linyi Qian and Zhuo Jin.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.3934/jimo.2020001. 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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