Benchmark and mean-variance problems for insurers

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

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Year of publication:	2005
Authors:	Bäuerle, Nicole
Published in:	Computational Statistics. - Springer. - Vol. 62.2005, 1, p. 159-165
Publisher:	Springer
Subject:	stochastic LQ problem \| Lagrange theory \| HJB equation

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010847622