Researchers from Hunan Normal University Provide Details of New Studies and Findings in the Area of Mathematics (Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk)

2020 APR 07 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Research findings on mathematics are discussed in a new report. According to news reporting originating from Hunan, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we consider a robust optimal investment-reinsurance problem with a default risk.”

Funders for this research include National Natural Science Foundation of China.

Our news editors obtained a quote from the research from Hunan Normal University: “The ambiguity-averse insurer (AAI) may carry out transactions on a risk-free asset, a stock, and a defaultable corporate bond. The stock’s price is described by a jump-diffusion process, and both the jump intensity and the distribution of jump amplitude are uncertain, i.e., the jump is ambiguous. The AAI’s surplus process is assumed to follow an approximate diffusion process. In particular, the reinsurance premium is calculated according to the generalized mean-variance premium principle, and the reinsurance type has to follow a self-reinsurance function. In performing dynamic programming, both the predefault case and the postdefault case are analyzed, and the optimal strategies and the corresponding value functions are derived under the worst-case scenario.”

According to the news editors, the research concluded: “Moreover, we give a detailed proof of the verification theorem and give some special cases and numerical examples to illustrate our theoretical results.”

For more information on this research see: Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk. Mathematical Problems in Engineering, 2020,2020. (Mathematical Problems in Engineering - https://www.hindawi.com/journals/mpe/). The publisher for Mathematical Problems in Engineering is Hindawi Limited.

A free version of this journal article is available at https://doi.org/10.1155/2020/6207805.

Our news journalists report that additional information may be obtained by contacting Man Li, LCSM, Ministry of Education, School of Mathematics and Statistics, Hunan Normal University, Changsha, Hunan 410081, People’s Republic of China. Additional authors for this research include Yingchun Deng, Ya Huang, Hui Ou.

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