The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference
Financing guarantee institutions achieve capital preservation and appreciation through investment, and diversify business risks by purchasing re-guarantee. In order to study the optimal investment and re-guarantee purchase strategies of financing guarantee institutions, the geometric Brownian motion...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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IEEE
2022-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9846985/ |
| _version_ | 1818503294871404544 |
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| author | Guojian Ma Youqing Lv Junjie Wei |
| author_facet | Guojian Ma Youqing Lv Junjie Wei |
| author_sort | Guojian Ma |
| collection | DOAJ |
| description | Financing guarantee institutions achieve capital preservation and appreciation through investment, and diversify business risks by purchasing re-guarantee. In order to study the optimal investment and re-guarantee purchase strategies of financing guarantee institutions, the geometric Brownian motion modulated by Markov chain modulation is selected to describe the price process of risk assets, the Hamilton-Jacobi-Bellman equation is constructed based on the utility maximization criterion, and the solutions of optimal investment and re-guarantee purchase strategies are discussed under the exponential utility function. Ultimately, the influence of relevant parameters on the optimal strategies is studied through computational experimental simulation method. The results showed that the risk-free interest rate, risk aversion coefficient and guarantee period have significant effects on the optimal investment and re-guarantee purchase strategies. The market mechanism only affects the trend of the optimal investment strategy, but has no effect on the optimal re-guarantee purchase strategy. However, the increase of the re-guarantee institution’s safety loading and the guarantee recovery rate will significantly reduce the re-guarantee purchase ratio. |
| first_indexed | 2024-12-10T21:22:08Z |
| format | Article |
| id | doaj.art-7b05e80d59e94f8db67d4eac29b2efd1 |
| institution | Directory Open Access Journal |
| issn | 2169-3536 |
| language | English |
| last_indexed | 2024-12-10T21:22:08Z |
| publishDate | 2022-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | IEEE Access |
| spelling | doaj.art-7b05e80d59e94f8db67d4eac29b2efd12022-12-22T01:33:05ZengIEEEIEEE Access2169-35362022-01-0110812398124910.1109/ACCESS.2022.31955049846985The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk PreferenceGuojian Ma0Youqing Lv1https://orcid.org/0000-0001-7070-9945Junjie Wei2School of Management, Jiangsu University, Zhenjiang, ChinaSchool of Management, Jiangsu University, Zhenjiang, ChinaZhejiang Guarantee Group Company Ltd., Hangzhou, ChinaFinancing guarantee institutions achieve capital preservation and appreciation through investment, and diversify business risks by purchasing re-guarantee. In order to study the optimal investment and re-guarantee purchase strategies of financing guarantee institutions, the geometric Brownian motion modulated by Markov chain modulation is selected to describe the price process of risk assets, the Hamilton-Jacobi-Bellman equation is constructed based on the utility maximization criterion, and the solutions of optimal investment and re-guarantee purchase strategies are discussed under the exponential utility function. Ultimately, the influence of relevant parameters on the optimal strategies is studied through computational experimental simulation method. The results showed that the risk-free interest rate, risk aversion coefficient and guarantee period have significant effects on the optimal investment and re-guarantee purchase strategies. The market mechanism only affects the trend of the optimal investment strategy, but has no effect on the optimal re-guarantee purchase strategy. However, the increase of the re-guarantee institution’s safety loading and the guarantee recovery rate will significantly reduce the re-guarantee purchase ratio.https://ieeexplore.ieee.org/document/9846985/Financing guarantee institutioninvestmentre-guarantee purchaseutility |
| spellingShingle | Guojian Ma Youqing Lv Junjie Wei The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference IEEE Access Financing guarantee institution investment re-guarantee purchase utility |
| title | The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference |
| title_full | The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference |
| title_fullStr | The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference |
| title_full_unstemmed | The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference |
| title_short | The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference |
| title_sort | optimal investment and re guarantee purchase of china x2019 s financing guarantee institutions considering risk preference |
| topic | Financing guarantee institution investment re-guarantee purchase utility |
| url | https://ieeexplore.ieee.org/document/9846985/ |
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