Xi’an University of Finance and Economics Researcher Describes Advances in Mathematics (Robust optimal reinsurance-investment problem for n competitive and cooperative insurers under ambiguity aversion): Mathematics

2023 OCT 10 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Data detailed on mathematics have been presented. According to news reporting originating from Xi’an, People’s Republic of China, by NewsRx correspondents, research stated, “We investigate a robust optimal reinsurance-investment problem for $ n $ insurers under multiple interactions, which arise from the insurance market, the financial market, the competition mechanism and the cooperation mechanism.”

Our news reporters obtained a quote from the research from Xi’an University of Finance and Economics: “Each insurer’s surplus process is assumed to follow a diffusion model, which is an approximation of the classical Cramer-Lundberg model. Each insurer is allowed to purchase proportional reinsurance to reduce their claim risk. To reflect the first moment and second moment information on claims, we use the variance premium principle to calculate reinsurance premiums. To increase wealth, each insurer can invest in a financial market, which includes one risk-free asset and $ n $ correlated stocks. Each insurer wants to obtain the robust optimal reinsurance and investment strategy under the mean-variance criterion. By applying a stochastic control technique and dynamic programming approach, the extended Hamilton-Jacobi-Bellman (HJB) equation is established.”

According to the news editors, the research concluded: “Furthermore, we derive both the robust optimal reinsurance-investment strategy and the corresponding value function by solving the extended HJB equation. Finally, we present numerical experiments, which yield that competition and cooperation have an important influence on the insurer’s decision-making.”

For more information on this research see: Robust optimal reinsurance-investment problem for n competitive and cooperative insurers under ambiguity aversion. AIMS Mathematics, 2023,8(10):25131-25163. (AIMS Mathematics - http://www.aimspress.com/journal/Math). The publisher for AIMS Mathematics is AIMS Press.

A free version of this journal article is available at https://doi.org/10.3934/math.20231283.

Our news journalists report that more information may be obtained by contacting Peng Yang, School of Mathematics, Xi’an University of Finance and Economics, Xi’an 710100, People’s Republic of China.

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