Study Results from Jiaying University Provide New Insights into Technology (Finite Horizon Optimal Dividend and Reinsurance Problem Driven By a Jump-diffusion Process With Controlled Jumps): Technology

2023 AUG 08 (NewsRx) -- By a News Reporter-Staff News Editor at Tech Daily News -- Investigators publish new report on Technology. According to news reporting originating in Guangdong, People’s Republic of China, by NewsRx editors, the research stated, “In this paper, we discuss an optimal dividend and reinsurance problem for an insurance company facing two types of risks: unstable income and potential loses. The arrival of all loses is characterized as a compound Poisson process.”

The news reporters obtained a quote from the research from Jiaying University, “We assumes that every possible loss can be reinsured for a part of it. The reserve is a combination of a diffusion process and a controllable compound Poisson process. We investigate the optimal dividend and reinsurance strategy by analyzing the corresponding variational inequality on the value function. A significant difference from the existing literature is that the HJB equation in this variational inequality is a partial integro-differential equation with a functional optimization problem appearing in the integral operator.”

According to the news reporters, the research concluded: “We not only prove the existence of a classical solution to the problem and the continuity, strict monotonicity, boundedness of the dividend free boundary, but also discuss the properties of the optimal reinsurance policy, including the continuity, monotonicity of the optimal part covered by reinsurance for each possible loss, and the smoothness of the reinsurance free boundary.”

This research has been peer-reviewed.

For more information on this research see: Finite Horizon Optimal Dividend and Reinsurance Problem Driven By a Jump-diffusion Process With Controlled Jumps. Applied Mathematics & Optimization, 2023;88(1). Applied Mathematics & Optimization can be contacted at: Springer, One New York Plaza, Suite 4600, New York, Ny, United States. (Springer - www.springer.com; Applied Mathematics & Optimization - http://www.springerlink.com/content/0095-4616/)

Our news correspondents report that additional information may be obtained by contacting Chonghu Guan, Jiaying University, School of Mathematics, Meizhou 514015, Guangdong, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s00245-023-09992-2. 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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