Research from Nankai University in the Area of Mathematics Published (Optimal Investment and Reinsurance Policies in a Continuous-Time Model): Mathematics

2024 JAN 02 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Researchers detail new data in mathematics. According to news originating from Tianjin, People’s Republic of China, by NewsRx correspondents, research stated, “In the field of finance and insurance, addressing the optimal investment and reinsurance issue is a focal point for researchers.”

The news reporters obtained a quote from the research from Nankai University: “This paper contemplates the optimal strategy for insurance companies within a model where wealth dynamics adhere to a jump-diffusion process. The fractional structure of the diffusion term is extremely interpretative. This model encompasses elements of risky assets, risk-free assets, and proportional reinsurance. Based on this model and grounded in the principles of stochastic control, the corresponding HJB equation is derived and solved.”

According to the news editors, the research concluded: “Consequently, explicit expressions for the optimal investment and reinsurance ratios are obtained, and the solution’s verification theorem is proven. Finally, through a numerical analysis with varying parameters, results consistent with real-world scenarios are achieved.”

For more information on this research see: Optimal Investment and Reinsurance Policies in a Continuous-Time Model. Mathematics, 2023,11(24). (Mathematics - http://www.mdpi.com/journal/mathematics). The publisher for Mathematics is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/math11245005.

Our news journalists report that more information may be obtained by contacting Yan Tong, School of Mathematics and Science, Nankai University, No. 94 Weijin Road, Nankai District, Tianjin 300071, People’s Republic of China. Additional authors for this research include Tongling Lv, Yu Yan.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the author of this research: Yu Yan (http://orcid.org/0000-0003-4058-8489).

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