Studies in the Area of Mathematics and Statistics Reported from Guangzhou University (Optimal Investment and Reinsurance Strategies for an Insurer With Stochastic Economic Factor): Mathematics – Mathematics and Statistics

2023 MAY 12 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on Mathematics - Mathematics and Statistics. According to news reporting originating from Guangzhou, People’s Republic of China, by NewsRx editors, the research stated, “This work considers optimal investment and reinsurance strategies for an insurer with sto-chastic economic factor. In our mathematical model, a risk-free asset and a risky asset are assumed to rely on a stochastic economic factor which is described by a diffusion process.”

Financial supporters for this research include National Natural Science Foundation of China (NSFC), postgraduate innovative ability training program of Guangzhou Uni-versity.

Our news editors obtained a quote from the research from Guangzhou University, “We generalize the claim process to a compound Poisson process with the stochastic eco-nomic factor. Using expected utility maximization, we characterize the optimal strategy of investment-reinsurance under the power utility function. We use dynamic programming principle to derive the Hamilton-Jacobi-Bellman (HJB) equation. Then, by analysing the solution of the HJB equation, the optimal investment-reinsurance strategy is obtained and given in the verification theorem.”

According to the news editors, the research concluded: “Finally, sensitivity analysis is given to show the economic behavior of the optimal investment and reinsurance strategies.”

This research has been peer-reviewed.

For more information on this research see: Optimal Investment and Reinsurance Strategies for an Insurer With Stochastic Economic Factor. Hacettepe Insurance Daily News and Statistics, 2023;52(1):1-12. Hacettepe Insurance Daily News and Statistics can be contacted at: Hacettepe Univ, Fac Sci, Hacettepe Univ, Fac Sci, Beytepe, Ankara 06800, Turkey.

The news editors report that additional information may be obtained by contacting Weiwei Shen, Guangzhou University, Sch Econ & Stat, Guangzhou 510006, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.15672/hujms.1025441. 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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