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Study Data from Chinese University of Hong Kong Update Knowledge of Applied Analysis (Optimal Investment for Insurers with the Extended CIR Interest...

August 15, 2014



Study Data from Chinese University of Hong Kong Update Knowledge of Applied Analysis (Optimal Investment for Insurers with the Extended CIR Interest Rate Model)

By a News Reporter-Staff News Editor at Science Letter -- Current study results on Applied Analysis have been published. According to news reporting originating from Hong Kong, People's Republic of China, by NewsRx correspondents, research stated, "A fundamental challenge for insurance companies (insurers) is to strike the best balance between optimal investment and risk management of paying insurance liabilities, especially in a low interest rate environment. The stochastic interest rate becomes a critical factor in this asset-liability management (ALM) problem."

Our news editors obtained a quote from the research from the Chinese University of Hong Kong, "This paper derives the closed-form solution to the optimal investment problem for an insurer subject to the insurance liability of compound Poisson process and the stochastic interest rate following the extended CIR model. Therefore, the insurer's wealth follows a jump-diffusion model with stochastic interest rate when she invests in stocks and bonds. Our problem involves maximizing the expected constant relative risk averse (CRRA) utility function subject to stochastic interest rate and Poisson shocks."

According to the news editors, the research concluded: "After solving the stochastic optimal control problem with the HJB framework, we offer a verification theorem by proving the uniform integrability of a tight upper bound for the objective function."

For more information on this research see: Optimal Investment for Insurers with the Extended CIR Interest Rate Model. Abstract and Applied Analysis, 2014;():1-12. Abstract and Applied Analysis can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing - www.hindawi.com; Abstract and Applied Analysis - www.hindawi.com/journals/aaa/)

The news editors report that additional information may be obtained by contacting M.C. Chiu, Chinese University of Hong Kong, Dept. of Stat, Hong Kong, Hong Kong, People's Republic of China (see also Applied Analysis).

Keywords for this news article include: Asia, Hong Kong, Applied Analysis, People's Republic of China

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Science Letter


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