Zhejiang University Researchers Highlight Research in Mathematics (Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility)

2020 DEC 23 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New study results on mathematics have been published. According to news originating from Hangzhou, People’s Republic of China, by NewsRx correspondents, research stated, “This paper studies the time-consistent optimal investment and reinsurance problem for mean-variance insurers when considering both stochastic interest rate and stochastic volatility in the financial market.”

The news editors obtained a quote from the research from Zhejiang University: “The insurers are allowed to transfer insurance risk by proportional reinsurance or acquiring new business, and the jump-diffusion process models the surplus process. The financial market consists of a risk-free asset, a bond, and a stock modelled by Heston’s stochastic volatility model. Interest rate in the market is modelled by the Vasicek model. By using extended dynamic programming approach, we explicitly derive equilibrium reinsurance-investment strategies and value functions. In addition, we provide and prove a verification theorem and then prove the solution we get satisfies it.”

According to the news editors, the research concluded: “Moreover, sensitive analysis is given to show the impact of several model parameters on equilibrium strategy and the efficient frontier.”

For more information on this research see: Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility. Mathematics, 2020,8(2183):2183. (Mathematics - http://www.mdpi.com/journal/mathematics). The publisher for Mathematics is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/math8122183.

Our news journalists report that additional information may be obtained by contacting Jiaqi Zhu, Department of Mathematical Sciences, Zhejiang University, Hangzhou 310027, People’s Republic of China. Additional authors for this research include Shenghong Li.

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