Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
By a News Reporter-Staff News Editor at Journal of Mathematics -- Investigators publish new report on Mathematics - Applied Mathematics. According to news reporting originating in Tangshan, People’s Republic of China, by VerticalNews journalists, research stated, “We consider optimal investment and dividend problem of an insurer, where the insurer decides dividend payment policy and invests his surplus into the financial market to manage his risk exposure. The insurer’s control problem, with the presence of model uncertainty, is formulated as zero-sum, forward-backward games between insurer and market.”
The news reporters obtained a quote from the research, “In the framework of game theory, we develop the games between insurer and market to the more general forward-backward stochastic differential games, where the system is governed by forward-backward stochastic differential equations; the control processes are regular-singular controls; and the informations available to the two players are asymmetric partial informations. Then the maximum principles are established to give sufficient and necessary optimality conditions for the saddle points of the general forward-backward games.”
According to the news reporters, the research concluded: “Finally, we apply the maximum principles to solve the optimal investment and dividend problem of an insurer under model uncertainty.”
For more information on this research see: Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty. Applied Mathematical Modelling , 2018;58():254-269. Applied Mathematical Modelling can be contacted at: Elsevier Science Inc, 360 Park Ave South, New York, NY 10010-1710, USA. (Elsevier - www.elsevier.com; Applied Mathematical Modelling - http://www.journals.elsevier.com/applied-mathematical-modelling/)
Our news correspondents report that additional information may be obtained by contacting Y. Wang, North China Univ Sci & Technol, Hebei Key Lab Data Sci & Applicat, Tangshan, Hebei, People’s Republic of China.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.apm.2017.07.027. 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.
Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2018, NewsRx LLC
CITATION: (2018-05-08), Reports Outline Applied Mathematics Study Results from Y. Wang et al (Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty), Journal of Mathematics, 563, ISSN: 1945-8746, BUTTER® ID: 015644385
From the newsletter Journal of Mathematics.
https://www.newsrx.com/Butter/#!Search:a=15644385
This is a NewsRx® article created by NewsRx® and posted by NewsRx®. As proof that we are NewsRx® posting NewsRx® content, we have added a link to this steemit page on our main corporate website. The link is at the bottom left under "site links" at https://www.newsrx.com/NewsRxCorp/.
We have been in business for more than 20 years and our full contact information is available on our main corporate website.
We only upvote our posts after at least one other user has upvoted the article to increase the curation awards of upvoters.
NewsRx® offers 195 weekly newsletters providing comprehensive information on all professional topics, ranging from health, pharma and life science to business, tech, energy, law, and finance. Our newsletters report only the most relevant and authoritative information from qualified sources.