Study Findings from Shanghai University of Finance and Economics Provide New Insights into Axioms (Reinsurance Policy under Interest Force and Bankruptcy Prohibition): Mathematics – Axioms

2023 MAY 02 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Policy and Law Daily -- Investigators discuss new findings in axioms. According to news originating from Shanghai, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we solve an optimal reinsurance problem in the mathematical finance area.”

Funders for this research include Natural Science Foundation of Chongqing; Talent Initial Funding For Scientific Research of Chongqing Three Gorges University.

The news editors obtained a quote from the research from Shanghai University of Finance and Economics: “We assume that the surplus process of the insurance company follows a controlled diffusion process and the constant interest rate is involved in the financial model. During the whole optimization period, the company has a choice to buy reinsurance contract and decide the reinsurance retention level. Meanwhile, the bankruptcy at the terminal time is not allowed. The aim of the optimization problem is to minimize the distance between the terminal wealth and a given goal by controlling the reinsurance proportion. Using the stochastic control theory, we derive the Hamilton-Jacobi-Bellman equation for the optimization problem.”

According to the news editors, the research concluded: “Via adopting the technique of changing variable as well as the dual transformation, an explicit solution of the value function and the optimal policy are shown. Finally, several numerical examples are shown, from which we find several main factors that affect the optimal reinsurance policy.”

For more information on this research see: Reinsurance Policy under Interest Force and Bankruptcy Prohibition. Axioms, 2023,12(4). (Axioms - http://www.mdpi.com/journal/axioms). The publisher for Axioms is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/axioms12040378.

Our news journalists report that additional information may be obtained by contacting Yangmin Zhong, School of Law, Shanghai University of Finance and Economics, Shanghai 200433, People’s Republic of China. Additional authors for this research include Huaping Huang.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the author of this research: Huaping Huang (http://orcid.org/0000-0002-1836-2873).

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