近日，我院教师陈登胜特聘副教授（通讯作者）与合作者的论文《Optimal reinsurance-investment with loss aversion under rough Heston model》在金融学国际重要期刊《Quantitative Finance》第23卷1期（2023年）上发表。《Quantitative Finance》影响因子3.40，在2023年SSCI分区中属于Q1，是AJG（ABS）三星期刊，也是我校校定A级期刊。该论文的发表，有助于提升我院科学研究和学科建设水平。
Abstract：The paper investigates optimal reinsurance-investment strategies with the assumption that the insurers can purchase proportional reinsurance contracts and invest their wealth in a ﬁnancial market consisting of one risk-free asset and one risky asset whose price process obeys the rough Heston model. The problem is formulated as a utility maximization problem with a minimum guarantee under an S-shaped utility. Since the rough Heston model is non-Markovian and non-semimartingale, the utility maximization problem cannot be solved by the classical dynamical programming principle and related approaches. This paper uses semi-martingale approximation techniques to approximate the utility maximization problem and proves the rates of convergence for the optimal strategies. The approximate problem is a kind of classical stochastic control problem under multi-factor stochastic volatility models. As the approximate control problem still cannot be solved analytically, a dual control Monte-Carlo method is developed to solve it. Numerical examples and implementations are provided.