Researchers at Qufu Normal University Report New Data on Applied Probability Research (Optimal Mean-variance Investment-reinsurance Strategy for a Dependent Risk Model With Ornstein-uhlenbeck Process): Mathematics – Applied Probability Research

2021 NOV 17 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Researchers detail new data in Mathematics - Applied Probability Research. According to news reporting originating in Shandong, People’s Republic of China, by NewsRx journalists, research stated, “In this paper, we investigate the optimal investment-reinsurance strategy for an insurer with two dependent classes of insurance business, where the claim number processes are correlated through a common shock. It is assumed that the insurer can invest her wealth into one risk-free asset and multiple risky assets, and meanwhile, the instantaneous rates of investment return are stochastic and follow mean-reverting processes.”

Funders for this research include National Natural Science Foundation of China (NSFC), Fundamental Research Funds for the Central Universities, Natural Science Foundation of Shandong Province, Scientific Research Foundation for Introduced Scholars of Civil Aviation University of China.

The news reporters obtained a quote from the research from Qufu Normal University, “Based on the theory of linear-quadratic control, we adopt a backward stochastic differential equation (BSDE) approach to solve the mean-variance optimization problem. Explicit expressions for both the efficient strategy and efficient frontier are derived.”

According to the news reporters, the research concluded: “Finally, numerical examples are presented to illustrate our results.”

This research has been peer-reviewed.

For more information on this research see: Optimal Mean-variance Investment-reinsurance Strategy for a Dependent Risk Model With Ornstein-uhlenbeck Process. Methodology And Computing In Applied Probability, 2021. Methodology And Computing In Applied Probability can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Methodology And Computing In Applied Probability - http://www.springerlink.com/content/1387-5841/)

Our news correspondents report that additional information may be obtained by contacting Zhongyang Sun, Qufu Normal University, School of Statistics, Qufu 273165, Shandong, People’s Republic of China. Additional authors for this research include Yingxu Tian and Junyi Guo.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s11009-021-09902-5. 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.

(Our reports deliver fact-based news of research and discoveries from around the world.)