Showing 1 - 2 of 2
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....
Persistent link: https://www.econbiz.de/10010999661
A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of...
Persistent link: https://www.econbiz.de/10010950296