Researchers at Shandong University of Science and Technology Publish New Study Findings on Mathematics (Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints)

2020 OCT 07 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New study results on mathematics have been published. According to news reporting from Shandong, People’s Republic of China, by NewsRx journalists, research stated, “In this paper, we study the time-consistent equilibrium investment and risk control policies for an insurer under the mean-variance criterion.”

The news reporters obtained a quote from the research from Shandong University of Science and Technology: “The dynamics of liability and assets are given by non-Markovian regime-switching models driven by a Brownian motion and a continuous time finite-state Markov chain. It is assumed that the insurer has a time-varying preference of risk depending dynamically on current wealth, and is not allowed to short sell the risky assets. With the aid of backward stochastic differential equations and bounded mean oscillation martingales, we obtain feedback representations of the open-loop equilibrium strategies.”

According to the news editors, the research concluded: “Finally, the result is also applied to solve an example of the Markovian regime-switching model.”

For more information on this research see: Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints. AIMS Mathematics, 2020,5(6):6996-7013. (AIMS Mathematics - http://www.aimspress.com/journal/Math). The publisher for AIMS Mathematics is AIMS Press.

A free version of this journal article is available at https://doi.org/10.3934/math.2020449.

Our news journalists report that more information may be obtained by contacting Hui Sun, College of Transportation, Shandong University of Science and Technology, Qingdao, Shandong 266590, People’s Republic of China. Additional authors for this research include Zhongyang Sun, Ya Huang.

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