Studies from East China Normal University Further Understanding of Operations Science (Equilibrium Reinsurance-investment Strategy With a Common Shock Under Two Kinds of Premium Principles): Science – Operations Science

2022 APR 04 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Investigators discuss new findings in Science - Operations Science. According to news originating from Shanghai, People’s Republic of China, by NewsRx correspondents, research stated, “This paper investigates the optimal mean-variance reinsurance-investment problem for an insurer with a common shock dependence under two kinds of popular premium principles: the variance premium principle and the expected value premium principle.”

Funders for this research include National Natural Science Foundation of China (NSFC), Shanghai Education Development Foundation, Shanghai Municipal Education Commission (SHMEC), Ministry of Education, China - 111 Project, Chenguang Program.

Our news journalists obtained a quote from the research from East China Normal University, “We formulate the optimization problem within a game theoretic framework and derive the closed-form expressions of the equilibrium reinsurance-investment strategy and equilibrium value function under the two different premium principles by solving the extended Hamilton-Jacobi-Bellman system of equations. We find that under the variance premium principle, the proportional reinsurance is the optimal reinsurance strategy for the optimal reinsurance-investment problem with a common shock, while under the expected value premium principle, the excess-of-loss reinsurance is the optimal reinsurance strategy.”

According to the news editors, the research concluded: “In addition, we illustrate the equilibrium reinsurance-investment strategy by numerical examples and discuss the impacts of model parameters on the equilibrium strategy.”

This research has been peer-reviewed.

For more information on this research see: Equilibrium Reinsurance-investment Strategy With a Common Shock Under Two Kinds of Premium Principles. RAIRO - Operations Research, 2022;56(1):1-22. RAIRO - Operations Research can be contacted at: Edp Sciences S A, 17, Ave Du Hoggar, Pa Courtaboeuf, Bp 112, F-91944 Les Ulis Cedex A, France. (EDP Sciences - http://publications.edpsciences.org/; RAIRO - Operations Research - www.rairo-ro.org)

The news correspondents report that additional information may be obtained from Danping Li, East China Normal University, School of Statistics, Klatasds Moe, Shanghai 200062, People’s Republic of China. Additional authors for this research include Junna Bi and Nan Zhang.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1051/ro/2021183. 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.

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