Xi’an University of Finance and Economics Researcher Highlights Research in Mathematics (Robust optimal reinsurance strategy with correlated claims and competition): Mathematics

2023 JUN 05 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on mathematics. According to news reporting from Xi’an, People’s Republic of China, by NewsRx journalists, research stated, “This paper investigates the robust optimal reinsurance strategy, which simultaneously takes into account the ambiguity aversion, the correlated claims and the joint interests of an insurer and a reinsurer.”

The news journalists obtained a quote from the research from Xi’an University of Finance and Economics: “The correlated claims mean that future claims are correlated with historical claims, which are measured by an extrapolative bias. The joint interests of the insurer and the reinsurer are reflected by the competition between them. To better reflect competition, we assume that the insurer and the reinsurer are engaged in related insurance business. The insurer is allowed to purchase proportional reinsurance or acquire a new business. Under ambiguity aversion and the criterion of maximizing the expected utility of terminal wealth, we obtain explicit solutions for the robust optimal reinsurance strategy and the corresponding value function by using the stochastic dynamic programming approach. Furthermore, we obtain the optimal reinsurance strategy under four typical cases.”

According to the news reporters, the research concluded: “A series of numerical experiments were carried out to illustrate how the robust optimal reinsurance strategy varies with model parameters, and the result analyses reveal some interesting phenomena and provide useful guidance for reinsurance in reality.”

For more information on this research see: Robust optimal reinsurance strategy with correlated claims and competition. AIMS Mathematics, 2023,8(7):15689-15711. (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.2023801.

Our news editors report that additional 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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