Studies in the Area of Insurance Economics Reported from University of Waterloo (Optimality of excess-loss reinsurance under a mean-variance…

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Studies in the Area of Insurance Economics Reported from University of Waterloo (Optimality of excess-loss reinsurance under a mean-variance criterion)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news reporting originating from Waterloo, Canada, by VerticalNews correspondents, research stated, "In this paper, we study an insurer's reinsurance investment problem under a mean variance criterion."

Our news editors obtained a quote from the research from the University of Waterloo, "We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Levy insurance model when the reinsurance premium is computed according to the expected value premium principle."

According to the news editors, the research concluded: "Furthermore, we obtain the explicit equilibrium reinsurance investment strategy by solving the extended Hamilton Jacobi Bellman equation."

For more information on this research see: Optimality of excess-loss reinsurance under a mean-variance criterion. Insurance Mathematics & Economics, 2017;75():82-89. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting D.P. Li, University of Waterloo, Dept. of Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada. Additional authors for this research include D.C. Li and V.R. Young.

Keywords for this news article include: Waterloo, Ontario, Canada, North and Central America, Insurance Economics, Economics, University of Waterloo.