Researchers at Dalian Maritime University Publish New Data on Axioms (Optimal Reinsurance-Investment Strategy Based on Stochastic Volatility and the Stochastic Interest Rate Model): Mathematics – Axioms

2023 SEP 13 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Researchers detail new data in axioms. According to news originating from Dalian, People’s Republic of China, by NewsRx correspondents, research stated, “This paper studies insurance companies’ optimal reinsurance-investment strategy under the stochastic interest rate and stochastic volatility model, taking the HARA utility function as the optimal criterion.”

Financial supporters for this research include Liaoning Province Department of Education; Natural Science Foundation of Liaoning Province; List of Key Science And Technology Projects in Transportation Industry of Ministry of Transport; Dalian Maritime University; Chinese Ministry of Education; China Postdoctoral Science Foundation Funded Project.

Our news correspondents obtained a quote from the research from Dalian Maritime University: “It uses arithmetic Brownian motion as a diffusion approximation of the insurer’s surplus process and the variance premium principle to calculate premiums. In this paper, we assume that insurance companies can invest in risk-free assets, risky assets, and zero-coupon bonds, where the Cox-Ingersoll-Ross model describes the dynamic change in stochastic interest rates and the Heston model describes the price process of risky assets. The analytic solution of the optimal reinsurance-investment strategy is deduced by employing related methods from the stochastic optimal control theory, the stochastic analysis theory, and the dynamic programming principle.”

According to the news reporters, the research concluded: “Finally, the influence of model parameters on the optimal reinsurance-investment strategy is illustrated using numerical examples.”

For more information on this research see: Optimal Reinsurance-Investment Strategy Based on Stochastic Volatility and the Stochastic Interest Rate Model. Axioms, 2023,12(736):736. (Axioms - http://www.mdpi.com/journal/axioms). The publisher for Axioms is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/axioms12080736.

Our news editors report that more information may be obtained by contacting Honghan Bei, School of Maritime Economics and Management, Dalian Maritime University, Dalian 116026, People’s Republic of China. Additional authors for this research include Qian Wang, Yajie Wang, Wenyang Wang, Roberto Murcio.

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