Study Results from Southwestern University of Finance and Economics Broaden Understanding of Mathematics (Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model)

2020 SEP 18 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Current study results on mathematics have been published. According to news originating from Chengdu, People’s Republic of China, by NewsRx correspondents, research stated, “In this paper, we consider the problem of investment and reinsurance with time delay under the compound Poisson model of two-dimensional dependent claims.”

Financial supporters for this research include Chongqing Municipal Education Commission.

Our news journalists obtained a quote from the research from Southwestern University of Finance and Economics: “Suppose an insurance company controls the claim risk of two kinds of dependent insurance businesses by purchasing proportional reinsurance and invests its wealth in a financial market composed of a risk-free asset and a risk asset. The risk asset price process obeys the geometric Brownian motion. By introducing the capital flow related to the historical performance of the insurer, the wealth process described by stochastic delay differential equation (SDDE) is obtained. The extended HJB equation is obtained by using the stochastic control theory under the framework of game theory. Under the reinsurance expected premium principle, optimal time-consistent investment and reinsurance strategy and the corresponding value function are obtained.”

According to the news reporters, the research concluded: “Finally, the influence of model parameters on the optimal strategy is explained by numerical analysis.”

For more information on this research see: Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model. Mathematical Problems in Engineering, 2020,2020. (Mathematical Problems in Engineering - https://www.hindawi.com/journals/mpe/). The publisher for Mathematical Problems in Engineering is Hindawi Limited.

A free version of this journal article is available at https://doi.org/10.1155/2020/9368346.

Our news editors report that additional information may be obtained by contacting Sheng Li, School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, People’s Republic of China. Additional authors for this research include Yong He.

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