Studies from Southwestern University of Finance and Economics Further Understanding of Mathematics in Applied Science (A Two-layer Stochastic Differential Investment and Reinsurance Game With Default Risk Under the Bi-fractional Brownian Motion …): Science – Mathematics in Applied Science

2022 APR 15 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Investigators discuss new findings in Science - Mathematics in Applied Science. According to news originating from Chengdu, People’s Republic of China, by NewsRx correspondents, research stated, “This paper is concerned with the investment and reinsurance problem between two insurance companies and a reinsurance company by constructing a two-layer stochastic differential game.”

Financial support for this research came from Fundamental Research Funds for the Central Universities.

Our news journalists obtained a quote from the research from the Southwestern University of Finance and Economics, “Insurance companies invest in a risk-free asset, a defaultable bond, and a risky asset under the bi-fractional Brownian motion environment; reinsurance companies invest in a risk-free asset and a risky asset under the bi-fractional Brownian motion environment. In order to maximize the expected utility of the insurance companies’ relative wealth and the expected utility of the reinsurance company’s wealth at the terminal time, we solve the Hamilton-Jacobi-Bellman (HJB) equations by using the differential game theory and stochastic optimal control theory and obtain the equilibrium investment-reinsurance and reinsurance premium strategies.”

According to the news editors, the research concluded: “Finally, we investigate the influence of the parameters on the equilibrium strategy through numerical examples and analyze its economic implications.”

This research has been peer-reviewed.

For more information on this research see: A Two-layer Stochastic Differential Investment and Reinsurance Game With Default Risk Under the Bi-fractional Brownian Motion Environment. Mathematical Methods in the Applied Sciences, 2022. Mathematical Methods in the Applied Sciences can be contacted at: Wiley, 111 River St, Hoboken 07030-5774, NJ, USA. (Wiley-Blackwell - http://www.wiley.com/; Mathematical Methods in the Applied Sciences - http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-1476)

The news correspondents report that additional information may be obtained from Wenjing Hao, Southwestern University of Finance and Economics, School of Economics & Mathematics, Chengdu 611130, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1002/mma.8239. 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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