Benchmark and mean-variance problems for insurers

Nicole Bäuerle ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 1, 159-165

Abstract: We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance and solve the problem of finding the optimal reinsurance strategy which minimizes the expected quadratic distance of the risk reserve to a given benchmark. This result is extended to a mean-variance problem. Copyright Springer-Verlag Berlin Heidelberg 2005

Keywords: stochastic LQ problem; Lagrange theory; HJB equation (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00186-005-0446-1

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